A financial world is considered where an agent invests in a set of assets and partially funds the investment through debt. An investor-funding strategy which provides a surely non-negative yield is searched for. The problem reduces to the inversion (iin a generalized sense) of a matrix. It is shown that an approximate immunization strategy can be designed through the use of linear programming
We study investment and insurance demand decisions for an agent in a theoretical continuous-time exp...
Optimization techniques have been used in this paper to obtain an optimal investment in a selected p...
We describe some stochastic control problems in financial engineering arising from the need to find ...
A financial world is considered where an agent invests in a set of assets and partially funds the in...
This paper deals with the immunization problem in the case of negative cash-flows. It is proven that...
In this paper, we develop a portfolio optimization method to maximize the performance of a fixed inc...
Shifts in the term structure of interest rates are the major sources of risk to fixed-income portfol...
In this paper, a dynamic fixed-income portfolio selection model is developed under different stochas...
The object of this paper is to give conditions under which it is possible to immunize a bond portfol...
This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarante...
The paper concerns the interest risk management of insurance companies or banks. Classes of stochast...
<p>The stock market has grown steadily in recent years, and several indices have also been created i...
A goal of this short note is to explain how linear optimization, also called linear programming (LP)...
The paper concerns the interest risk management of insurance companies or banks. Classes of stochast...
We generalize the contribution of Fong and Vasicek (Financ Anal J 39:73–78, 1983a; Innov Bond Portf ...
We study investment and insurance demand decisions for an agent in a theoretical continuous-time exp...
Optimization techniques have been used in this paper to obtain an optimal investment in a selected p...
We describe some stochastic control problems in financial engineering arising from the need to find ...
A financial world is considered where an agent invests in a set of assets and partially funds the in...
This paper deals with the immunization problem in the case of negative cash-flows. It is proven that...
In this paper, we develop a portfolio optimization method to maximize the performance of a fixed inc...
Shifts in the term structure of interest rates are the major sources of risk to fixed-income portfol...
In this paper, a dynamic fixed-income portfolio selection model is developed under different stochas...
The object of this paper is to give conditions under which it is possible to immunize a bond portfol...
This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarante...
The paper concerns the interest risk management of insurance companies or banks. Classes of stochast...
<p>The stock market has grown steadily in recent years, and several indices have also been created i...
A goal of this short note is to explain how linear optimization, also called linear programming (LP)...
The paper concerns the interest risk management of insurance companies or banks. Classes of stochast...
We generalize the contribution of Fong and Vasicek (Financ Anal J 39:73–78, 1983a; Innov Bond Portf ...
We study investment and insurance demand decisions for an agent in a theoretical continuous-time exp...
Optimization techniques have been used in this paper to obtain an optimal investment in a selected p...
We describe some stochastic control problems in financial engineering arising from the need to find ...