Bond management and max-min optimal control
作者： Luca L. Ghezzi
DOI: 10.1016/S0096-3003(99)00033-8
关键词:
摘要: An immunization problem is considered in which a bond portfolio to be periodically rebalanced. Max-min optimal control applied the problem. The target maximize final value under worst possible evolution of interest rates. law, obtained by means dynamic programming, turns out different from any duration-based policy.
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