论文信息 - Using linear and goal programming to immunize bond portfolios

Using linear and goal programming to immunize bond portfolios

Abstract Bierwag and Khang's (1979) model of immunizing a portfolio of default-free government bonds is expanded here to include default-grade corporate bonds. The immunizing equation is found to be slightly different. Both linear and goal programming are shown to be alternative techniques for identifying an investor's optimal immunizing portfolio.

Bruce G. Resnick | Gordon J. Alexander | G. J. Alexander

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