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.
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