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Multi-level risk-controlled sector optimization of domestic and international fixed-income portfolios including conditional VaR

Ron D'Vari, Juan C. Sosa, Kishore K. Yalamanchili. Multi-level risk-controlled sector optimization of domestic and international fixed-income portfolios including conditional VaR. In Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, CIFEr 2000, New York City, USA, March 28, 2000. pages 62-64, IEEE, 2000. [doi]

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