Bond Portfolio Optimization in the Presence of Duration Constraints

The Journal of Fixed Income

Author(s):

Romain Deguest

Head of research and co-founder of Fundvisory

Frank J. Fabozzi

Professor of finance at EDHEC Business School

Lionel Martellini

Professor of finance at EDHEC Business School
Director of EDHEC-Risk Institute

Vincent Milhau

Research director at EDHEC-Risk Institute

Type: Academic publication
Date: le 01/07/2018
Research Cluster : Finance
Source : The Journal of Fixed Income

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