Bond Portfolio Optimization in the Presence of Duration Constraints

The Journal of Fixed Income, Summer 2018

Author(s):

Romain Deguest

Head of research and co-founder of Fundvisory in Paris, France.

Frank J. Fabozzi

Professor of finance at EDHEC Business School in Nice, France.

Lionel Martellini

Professor of finance at the EDHEC Business School and the Director of EDHEC-Risk Institute in Nice, France.

Vincent Milhau

Research director at EDHEC-Risk Institute in Nice, France.

The Journal of Fixed Income, Summer 2018

Type: Academic publication
Date: le 02/07/2018
Research Cluster : Finance
Source : The Journal of Fixed Income

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