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A max-min policy for bond management
Journal article   Peer reviewed

A max-min policy for bond management

Luca Ghezzi
European journal of operational research, Vol.114(2, April 1999), pp.389-394
1999
Scopus ID: 2-s2.0-0033115245
Web of Science ID: WOS:000078790300017

Abstract

Modelling Dynamic programming Finance
A simple immunization problem is formulated as a maxmin optimal control problem and analytically solved by means of dynamic programming. The optimal control law, namely the immunization policy, turns out to be quite different from any duration-based immunization policy. Moreover, it is seemingly able to discriminate between favourable and unfavourable changes in the yield curve.

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