scientific article; zbMATH DE number 2065139

MaRDI QIDQ4459805zbMATH OpenFDO

Authors Alfredo Ibáñez, Alejandro Balbás

Publication date 18 May 2004

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47)

Recommendations

• A minimax risk strategy for portfolio immunization
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(6)

• Worst-case estimation for econometric models with unobservable components
• A minimax risk strategy for portfolio immunization
• A maxmin policy for bond management
• On immunization, stop-loss order and the maximum Shiu measure.
• Bond management and max-min optimal control.
• On risk minimizing strategies for default-free bond portfolio immunization

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