Portfolio immunization under cone restrictions

DOI10.1515/JAA-2017-0016zbMath1376.91145OpenAlexW2770047834MaRDI QIDQ1684037

Elżbieta Krajewska, Lestaw Gajek

Publication date: 4 December 2017

Published in: Journal of Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jaa-2017-0016

zbMATH Keywords

asset-liability managementinterest rate riskimmunizationcone restrictionsmonotonicity of linear operators

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Axiom of solvency and portfolio immunization under random interest rates
• Immunization of multiple liabilities
• A new immunization inequality for random streams of assets, liabilities and interest rates
• On convex cones

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