Bond management and max-min optimal control

被引：1
|
作者：
Ghezzi, LL [1 ]
机构：
[1] Univ Carlo Cattaneo, Ist Metodi Quantitat, I-21053 Varese, Italy
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2000年 / 112卷 / 01期
关键词：
D O I：
10.1016/S0096-3003(99)00033-8
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
An immunization problem is considered in which a bond portfolio is to be periodically rebalanced. Max-min optimal control is applied to the problem, The target is to maximize the final portfolio value under the worst possible evolution of interest rates. The optimal control law, obtained by means of dynamic programming, turns out to be different from any duration-based immunization policy. (C) 2000 Elsevier Science Inc. All rights reserved.
引用
收藏
页码：33 / 40
页数：8
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