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国债二级市场和国债回购市场的投资决策模型研究 总被引:1,自引:0,他引:1
本文我们研究了国债二级市场、国债回购市场和其它风险投资市场的收益关系 ,在一定条件下我们得出了国债二级市场、国债回购市场和其它风险投资市场的优化投资决策模型 相似文献
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Marida Bertocchi Rosella Giacometti Leon Slominski 《Annals of Operations Research》2000,97(1-4):111-129
In this paper we present a model for management of bond portfolio including financing and investment repo contracts. Different
specifications are suggested in order to reduce the problem to a linear programming problem and to consider a self-financing
portfolio. The models are tested on historical data assuming a technical time scale equal to the minimum length of the contracts
in the portfolio. We also compared different operative strategies on a time horizon of one month.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
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