Welcome to the research library that the CGRRD makes available to all of its members. Access materials on various topics prepared by our members and sponsor members.
Characterization of interest rate risk in the investment portfolios of Dominican multiple-service banks
The aim of this study is to characterize the interest rate risk of the portfolios of Dominican multiple-service banks. To do so, the historical yield curves of government issuers were estimated by applying the Nelson and Siegel (1987) model.
Building Robust Covariance Matrices for Investment Portfolio Optimization
Structuring optimal portfolios has been a central topic in finance. Since the ideas presented by Harry Markowitz in his 1952 essay, the mean-variance analysis framework for portfolio optimization has been widely applied. However, the instability of covariance matrices for asset returns has been one of the many problems present in the mean-variance methodology.
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