On the Relative Importance of Duration Constraints

DOI10.1287/MNSC.43.2.198zbMATH Open0888.90020OpenAlexW2055261838MaRDI QIDQ4367206FDOQ4367206

Authors: Jacob Paroush, Eliezer Z. Prisman 

Publication date: 25 November 1997

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.43.2.198

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zbMATH Keywords

portfolio immunizationduration constraints

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

Cited In (3)

• A primer on duration, convexity, and immunization
• Some improvements in calculation and use of bond duration
• Portfolio selection strategy for fixed income markets with immunization on average

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