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A maxmin policy for bond management

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  • Ghezzi, Luca Luigi

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  • Ghezzi, Luca Luigi, 1999. "A maxmin policy for bond management," European Journal of Operational Research, Elsevier, vol. 114(2), pages 389-394, April.
    • Handle: RePEc:eee:ejores:v:114:y:1999:i:2:p:389-394
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    References listed on IDEAS

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    1. Montrucchio, Luigi & Peccati, Lorenzo, 1991. "A note on Shiu--Fisher--Weil immunization theorem," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 125-131, July.
    2. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-431, October.
    3. Bierwag, G. O., 1979. "Dynamic portfolio immunization policies," Journal of Banking & Finance, Elsevier, vol. 3(1), pages 23-41, April.
    4. Chambers, Donald R. & Carleton, Willard T. & McEnally, Richard W., 1988. "Immunizing Default-Free Bond Portfolios with a Duration Vector," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 89-104, March.
    5. Bierwag, G O & Khang, Chulsoon, 1979. "An Immunization Strategy Is a Minimax Strategy," Journal of Finance, American Finance Association, vol. 34(2), pages 389-399, May.
    6. Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
    7. Stephen P. Bradley & Dwight B. Crane, 1972. "A Dynamic Model for Bond Portfolio Management," Management Science, INFORMS, vol. 19(2), pages 139-151, October.
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    Cited by:

    1. Deng, Xiao-Tie & Li, Zhong-Fei & Wang, Shou-Yang, 2005. "A minimax portfolio selection strategy with equilibrium," European Journal of Operational Research, Elsevier, vol. 166(1), pages 278-292, October.
    2. Huang, Xiaoxia, 2007. "Two new models for portfolio selection with stochastic returns taking fuzzy information," European Journal of Operational Research, Elsevier, vol. 180(1), pages 396-405, July.
    3. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.

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