Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: A simulation study
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F01%3A00105327" target="_blank" >RIV/00216208:11320/01:00105327 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: A simulation study
Original language description
Sensitivity of bond portfolio's behavior with respect to random movements in yield curve is analysed for a bond portfolio management problem modeled as scenario-based multistage stochastic program using simulation experiments.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2001
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Annals of Operational Research
ISSN
0254-5330
e-ISSN
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Volume of the periodical
2000
Issue of the periodical within the volume
99
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
20
Pages from-to
267-286
UT code for WoS article
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EID of the result in the Scopus database
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