Asset/liability management under uncertainty for fixed-income securities

DOI10.1007/BF02031744zbMath0836.90015MaRDI QIDQ1904674

Stavros A. Zenios

Publication date: 2 May 1996

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

mortgage-backed securities; portfolio immunization

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C15: Stochastic programming

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