Rodrigue Oeuvray

Pictet Asset Management

Investment Risk Manager

Geneva

Switzerland

SCHOLARLY PAPERS

1

DOWNLOADS

0

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Derivative-Free Replication of a Bond Benchmark with a Fraction of the Portfolio

Posted: 14 Mar 2012 Last Revised: 09 Aug 2013
Iliya Markov, Rodrigue Oeuvray and Nils Tuchschmid
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, Pictet Asset Management and Tages Capital LLP

Abstract:

Loading...

Bond Index Replication, Derivatives, Tracking Error, Optimization