Bond management and max-min optimal control.

DOI10.1016/S0096-3003(99)00033-8MaRDI QIDQ1569221zbMATH OpenFDO

Authors L. Ghezzi

Publication date 25 June 2000

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0096-3003(99)00033-8

zbMATH Keywords

interest ratesportfolio

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90)

Recommendations

• A maxmin policy for bond management
• Immunization and max-min optimal control
• scientific article; zbMATH DE number 2065139
• Optimal portfolio choice under a liability constraint
• Assets/liabilities portfolio immunization as an optimization problem

Cites work

• A maxmin policy for bond management
• A note on Shiu-Fisher-Weil immunization theorem
• Finite-horizon optimal control with pointwise cost functional
• scientific article; zbMATH DE number 4061056 (Why is no real title available?)
• scientific article; zbMATH DE number 1321699 (Why is no real title available?)
• Immunization and max-min optimal control
• On the Fisher-Weil immunization theorem

Cited in

(5)

• A maxmin policy for bond management
• Optimal portfolio choice under a liability constraint
• scientific article; zbMATH DE number 1120271 (Why is no real title available?)
• scientific article; zbMATH DE number 2065139 (Why is no real title available?)
• OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC

This page was built for publication: Bond management and max-min optimal control.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1569221)