A note on Shiu-Fisher-Weil immunization theorem
From MaRDI portal
Publication:1182771
DOI10.1016/0167-6687(91)90005-IzbMath0754.90002MaRDI QIDQ1182771
Lorenzo A. Peccati, Luigi Montrucchio
Publication date: 28 June 1992
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Related Items
Term Structure Models with Parallel and Proportional Shifts, Minimax strategies and duality with applications in financial mathematics, Axiom of solvency and portfolio immunization under random interest rates, A minimax risk strategy for portfolio immunization, A maxmin policy for bond management, Immunization and max-min optimal control, A note on Shiu's immunization results, On immunization, stop-loss order and the maximum Shiu measure., Bond management and max-min optimal control.
Cites Work