A maxmin policy for bond management

DOI10.1016/S0377-2217(97)00449-9zbMath0935.91020WikidataQ127011675 ScholiaQ127011675MaRDI QIDQ1296370

Luca Luigi Ghezzi

Publication date: 2 August 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingimmunizationmaxmin optimal control

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming (90C39)

Related Items (5)

Two new models for portfolio selection with stochastic returns taking fuzzy information ⋮ A mispricing model of stocks under asymmetric information ⋮ A Portfolio Selection Methodology Based on Data Envelopment Analysis ⋮ A minimax portfolio selection strategy with equilibrium ⋮ Bond management and max-min optimal control.

Cites Work

• On the Fisher-Weil immunization theorem
• A note on Shiu-Fisher-Weil immunization theorem
• Finite-horizon optimal control with pointwise cost functional
• Immunization and max-min optimal control
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