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

zbMATH Open1368.91185MaRDI QIDQ5283595FDOQ5283595

Authors: Grzegorz Rządkowski, Leszek S. Zaremba 

Publication date: 24 July 2017

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zbMATH Keywords

Lagrange functionsimmunizationbond portfolio

Mathematics Subject Classification ID

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

Cited In (3)

• Shifts of the term structure of interest rates against which a given portfolio is preimmunized
• Title not available (Why is that?)
• On the Fisher-Weil immunization theorem

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