Assets/liabilities portfolio immunization as an optimization problem
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(20)- Immunization of multiple liabilities
- A minimax risk strategy for portfolio immunization
- A note on Shiu's immunization results
- Bond management and max-min optimal control.
- Optimal portfolio choice under a liability constraint
- Incorporating convexity in bond portfolio immunization using multifactor model: a semidefinite programming approach
- Portfolio immunization under cone restrictions
- Portfolio selection strategy for fixed income markets with immunization on average
- Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
- Optimal management of immunized portfolios
- Scenario optimization asset and liability modelling for individual investors
- scientific article; zbMATH DE number 1996476 (Why is no real title available?)
- scientific article; zbMATH DE number 2076200 (Why is no real title available?)
- On risk minimizing strategies for default-free bond portfolio immunization
- scientific article; zbMATH DE number 802755 (Why is no real title available?)
- scientific article; zbMATH DE number 1419398 (Why is no real title available?)
- Determination of continuous shifts in the term structure of interest rates against which a bond portfolio is immunized
- Shifts of the term structure of interest rates against which a given portfolio is preimmunized
- Duration gap with multiple liabilities for nonparallel shifts
- Axiom of solvency and portfolio immunization under random interest rates
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