Determination of continuous shifts in the term structure of interest rates against which a bond portfolio is immunized

MaRDI QIDQ5283595zbMATH OpenFDO

Authors Grzegorz Rządkowski, Leszek S. Zaremba

Publication date 24 July 2017

zbMATH Keywords

Lagrange functionsimmunizationbond portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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