Application of multivariate GARCH in the minimum variance optimization of a multi-currency sovereign bond portfolio
Fixed income portfolio managers are often challenged on how to maximize return and mitigate risk, especially during periods of increased volatility and occurrence of extreme events. Given the dynamic nature of risk, it is prudent to find a methodology where interest rate volatility can be forecasted...
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Animo Repository
2012
|
| الوصول للمادة أونلاين: | https://animorepository.dlsu.edu.ph/etd_masteral/4280 https://animorepository.dlsu.edu.ph/context/etd_masteral/article/11118/viewcontent/CDTG005231_P.pdf |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|
| المؤسسة: | De La Salle University |
| اللغة: | English |