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Back Testing Short-Term Treasury Management Strategies Based on Multi-stage Stochastic Programming

Ferstl, Robert and Weissensteiner, Alex (2010) Back Testing Short-Term Treasury Management Strategies Based on Multi-stage Stochastic Programming. Journal of Asset Management 11 (2/3), pp. 94-112.

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Abstract

We show the practical viability of a short-term treasury management model which is formulated as a multi-stage stochastic linear program. A company minimises the Conditional Value at Risk of final wealth, subject to given future cash flows and the uncertain future development of interest rates and equity returns, choosing an asset allocation among cash, several bonds, and an equity investment. ...

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Item Type:Article
Date:2010
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1057/jam.2010.11DOI
Related URLs:
URLURL Type
http://dx.doi.org/10.1057/jam.2010.11Publisher
Keywords:Dynamic stochastic optimisation; Treasury management; Market price of risk; Change of measure; Scenario generation
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Dr. Robert Ferstl
Deposited On:08 Apr 2010 08:43
Last Modified:28 Sep 2010 13:00
Item ID:14094
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