Bond management and max-min optimal control.

DOI10.1016/S0096-3003(99)00033-8zbMath1042.91040MaRDI QIDQ1569221

Luca Luigi Ghezzi

Publication date: 25 June 2000

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

portfoliointerest rates

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90)

Cites Work

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