Risk factor analysis and portfolio immunization in the corporate bond market

Article Abstract:

A multi-factor model for analyzing the risks in the corporate bonds is presented. The model integrates 98% variability based on which it evolves a credit risk immunization strategy for corporate bonds, which have multiple credit ratings for portfolio management purposes.

Italy, Asset & Risk Management, Corporate Bonds, Risk management, Mathematical models

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Randomly generating portfolio-selection covariance matrices with specified distributional characteristics

Article Abstract:

The usefulness of covariance matrix factorization to optimize the selection of portfolios, by generating random, positive, semidefinite, covariance matrices, is described.

Germany, Statistical methods, Mathematical optimization, Optimization theory

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Portfolio performance evaluation in a mean-variance-skewness framework

Article Abstract:

A study makes a data envelopment analysis to propose a portfolio performance, which can effectively be used in a financial market.

Forecasts, trends, outlooks, Forecasts and trends, Market trend/market analysis, Data envelopment analysis

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