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

bond portfolioimmunizationLagrange functions

Mathematics Subject Classification ID

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

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Cited in

(3)

• On the Fisher-Weil immunization theorem
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• scientific article; zbMATH DE number 6472000 (Why is no real title available?)

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