Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Markowitz 's mean-variance optimization"
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Public domestic debt optimization and the term structure of interest rates - Dynamic Nelson Siegel Approach
(Strathmore University, 2015-12)In this study, Markowitz's mean-variance optimization approach is applied to Kenya's public debt portfolio to identify the optimal domestic debt portfolio. The study first adopts the Dynamic Nelson Siegel model to parameterize ...