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.

Immunization strategies in linear models

BECCACECE, FRANCESCA;PECCATI, LORENZO
1994

Abstract

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.
1994
3790808032
R. L. D'Ecclesia, S.A. Zenios
Operations Research Models in Quantitative Finance
Beccacece, Francesca; Peccati, Lorenzo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3774385
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