Incorporating convexity in bond portfolio immunization using multifactor model: a semidefinite programming approach

DOI10.1007/s40305-018-0196-4zbMath1413.91094OpenAlexW2794244475MaRDI QIDQ1655914

Cai-Hong Zhang, Qian Liu, Wei Zhu, Shu-Shang Zhu

Publication date: 10 August 2018

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-018-0196-4

zbMATH Keywords

semidefinite programmingconvexitydurationmultifactor modelimmunization

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Cites Work

• Linear Matrix Inequalities in System and Control Theory

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