How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios

zbMath0961.91015MaRDI QIDQ1578326

Włodzimierz H. Smoleński, Leszek S. Zaremba

Publication date: 19 September 2000

Published in: Bulletin of the Polish Academy of Sciences. Technical Sciences (Search for Journal in Brave)

zbMATH Keywords

convexitydurationbond portfolioimmunization problem

Mathematics Subject Classification ID

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