TY - JOUR
T1 - Using linear and goal programming to immunize bond portfolios
AU - Alexander, Gordon J.
AU - Resnick, Bruce G.
PY - 1985/3
Y1 - 1985/3
N2 - 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.
AB - 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.
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U2 - 10.1016/0378-4266(85)90061-5
DO - 10.1016/0378-4266(85)90061-5
M3 - Article
AN - SCOPUS:46549098024
SN - 0378-4266
VL - 9
SP - 35
EP - 54
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 1
ER -