×

Mean-absolute deviation portfolio optimization for mortgage-backed securities. (English) Zbl 0800.90049


MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
90C90 Applications of mathematical programming
91B30 Risk theory, insurance (MSC2010)
91G10 Portfolio theory
PDFBibTeX XMLCite
Full Text: DOI

References:

[1] D.F. Babbel and S.A. Zenios, Pitfalls in the analysis of option-adjusted spreads, Fin. Anal. J. (July/August 1992) 65–69.
[2] W.W. Bartlett,Mortgage-Backed Securities: Products, Analysis and Trading (New York Institute of Finance, 1989).
[3] F. Black, E. Derman and W. Toy, A one-factor model of interest rates and its application to treasury bond options, Fin. Anal. J. (Jan./Feb. 1990) 33–39.
[4] J. Cox, J. Ingersoll and S. Ross, A theory of the term structure of interest rates, Econometrica 53 (1985) 385–407. · Zbl 1274.91447 · doi:10.2307/1911242
[5] H. Dahl, A. Meeraus and S.A. Zenios, Some financial optimization models: I. Risk management, in:Financial Optimization, ed. S.A. Zenios (Cambridge University Press, 1992) pp. 3–36.
[6] R.R. Grauer and N.H. Hakansson, Returns on levered actively managed long-run portfolios of stocks, bonds and bills, Fin. Anal. J. (Sept. 1985) 24–43.
[7] M. Holmer, The FNMA asset/liability management system, Interfaces (1993), to appear.
[8] P. Kang and S.A. Zenios, Complete prepayment models for mortgage-backed securities, Manag. Sci. 38 (1992) 1665–1685. · doi:10.1287/mnsc.38.11.1665
[9] H. Konno and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Manag. Sci. 37 (1991) 519–531. · doi:10.1287/mnsc.37.5.519
[10] H. Markowitz,Portfolio Selection, Efficiency Diversification of Investments, Cowles Foundation Monograph 16 (Yale University Press, 1959; 2nd ed., Basil Blackwell, Cambridge, 1991).
[11] J.M. Mulvey and S.A. Zenios, Capturing the correlations of fixed-income instruments, Manag. Sci., to appear. · Zbl 0822.90031
[12] E.S. Schwartz and W.N. Torous, Prepayment and the valuation of mortgage backed securities, J. Fin. 44 (1989) 375–392. · doi:10.2307/2328595
[13] W.F. Sharpe, Mean-absolute-deviation characteristic lines for securities and portfolios, Manag. Sci. 18 (1971) B-1–B-13. · Zbl 0225.90009 · doi:10.1287/mnsc.18.2.B1
[14] K.J. Worzel, C.V. Zenios and S.A. Zenios, Integrated simulation and optimization models for tracking fixed-income indices, Oper. Res., to appear. · Zbl 0925.90026
[15] S.A. Zenios and R.A. McKendall, Computing price scenarios of mortgage-backed securities using massively parallel computing, in:Modeling Reality and Personal Modeling, ed. R. Flavell (Springer, 1993) pp. 374–407.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.