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
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
相关论文
共 50 条
  • [1] Immunization and max-min optimal control
    Ghezzi, LL
    [J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 1997, 95 (03) : 701 - 711
  • [2] Max-min optimal investing
    Ordentlich, E
    Cover, TM
    [J]. PROCEEDINGS OF THE IEEE/IAFE 1996 CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING (CIFER), 1996, : 127 - 133
  • [3] Globally optimal solutions of max-min systems
    Tao, Yuegang
    Liu, Guo-Ping
    Chen, Wende
    [J]. JOURNAL OF GLOBAL OPTIMIZATION, 2007, 39 (03) : 347 - 363
  • [4] A FINITE ALGORITHM FOR THE SOLUTION OF MAX-MIN OPTIMAL-CONTROL PROBLEMS
    GUMINSKII, AV
    [J]. DOKLADY AKADEMII NAUK BELARUSI, 1984, 28 (03): : 201 - 204
  • [5] MIN-MAX VS MAX-MIN FLOW-CONTROL ALGORITHMS FOR OPTIMAL COMPUTER NETWORK CAPACITY ASSIGNMENT
    NIZNIK, CA
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 1984, 11 (02) : 209 - 224
  • [6] Optimal Control of DDoS defense with Multi-Resource Max-min Fairness
    Wei, Wei
    Dong, Yabo
    Lu, Dongming
    Jin, Guang
    [J]. 2008 IEEE CONFERENCE ON CYBERNETICS AND INTELLIGENT SYSTEMS, VOLS 1 AND 2, 2008, : 1 - +
  • [7] Solving Optimal Pump Control Problem Using Max-Min Ant System
    Lopez-Ibanez, Manuel
    Prasad, T. Devi
    Paechter, Ben
    [J]. GECCO 2007: GENETIC AND EVOLUTIONARY COMPUTATION CONFERENCE, VOL 1 AND 2, 2007, : 176 - 176
  • [8] MAX-MIN PROBLEMS
    KAPUR, KC
    [J]. NAVAL RESEARCH LOGISTICS, 1973, 20 (04) : 639 - 644
  • [9] Max-min separability
    Bagirov, AM
    [J]. OPTIMIZATION METHODS & SOFTWARE, 2005, 20 (2-3): : 271 - 290
  • [10] A MAX-MIN PROBLEM
    MARSH, DCB
    [J]. AMERICAN MATHEMATICAL MONTHLY, 1967, 74 (1P1): : 86 - &