A minimax risk strategy for portfolio immunization

DOI10.1016/S0167-6687(98)00028-6zbMath0915.90010MaRDI QIDQ1277813

Joel R. Barber, Mark L. Copper

Publication date: 17 February 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

infinite factor interest rate modelminimax immunization strategyportfolio value

Mathematics Subject Classification ID

Related Items (2)

Minimax strategies and duality with applications in financial mathematics ⋮ Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm

Cites Work

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• On the Fisher-Weil immunization theorem
• Immunization of multiple liabilities
• A note on Shiu-Fisher-Weil immunization theorem
• A note on Shiu's immunization results

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