Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098849 | Journal of Economic Dynamics and Control | 2012 | 13 Pages |
Abstract
We benchmark the model against a GLMM model in the context of bond portfolio risk management. The proposed model yields stronger dependencies and higher risks than the GLMM model. As a result, the risk optimal portfolios are more conservative than the decisions resulting from the benchmark model.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
David Wozabal, Ronald Hochreiter,