Optimal management of immunized portfolios
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Publication:2323657
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Cites work
- A note on immunization under a general stochastic equilibrium model of the term structure
- A note on Shiu-Fisher-Weil immunization theorem
- An equilibrium characterization of the term structure
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Immunization of multiple liabilities
- On Redington's theory of immunization
- On the Fisher-Weil immunization theorem
- Pricing interest-rate-derivative securities
Cited in
(9)- A maxmin policy for bond management
- Portfolio selection strategy for fixed income markets with immunization on average
- scientific article; zbMATH DE number 2065139 (Why is no real title available?)
- scientific article; zbMATH DE number 1892900 (Why is no real title available?)
- scientific article; zbMATH DE number 802755 (Why is no real title available?)
- Assets/liabilities portfolio immunization as an optimization problem
- scientific article; zbMATH DE number 6296773 (Why is no real title available?)
- Duration gap with multiple liabilities for nonparallel shifts
- Axiom of solvency and portfolio immunization under random interest rates
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