Hedging interest rate risk by optimization in Banach spaces

DOI10.1007/s10957-006-9124-6zbMath1127.91022OpenAlexW2054316845MaRDI QIDQ995956

Rosario Romera, Alejandro Balbas

Publication date: 10 September 2007

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/12970

zbMATH Keywords

maximum portfoliosaddle-point condition

Mathematics Subject Classification ID

Semi-infinite programming (90C34)

Related Items (3)

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

Cites Work

• Pricing a nontradeable asset and its derivatives.
• Extreme Points of Moment Sets
• Generalising Interest Rate Duration with Directional Derivatives: Direction X and Applications
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