Hedging Interest Rate Risk by Optimization in Banach Spaces

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dc.contributor.author Balbás, Alejandro
dc.contributor.author Romera, Rosario
dc.date.accessioned 2012-01-16T15:47:59Z
dc.date.available 2012-01-16T15:47:59Z
dc.date.issued 2007
dc.identifier.bibliographicCitation Journal of Optimization Theory and Application, 2007, v. 132, nº 1, pp. 175-191
dc.identifier.issn ISSN: 0022-3239
dc.identifier.uri http://hdl.handle.net/10016/12970
dc.description.abstract This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one-period no-arbitrage approach of financial economics. Under quite weak assumptions, several maximin portfolios are introduced by means of semi-infinite mathematical programming problems. These problems involve several Banach spaces; consequently, infinitedimensional versions of classical algorithms are required. Furthermore, the corresponding solutions satisfy a saddle-point condition illustrating how they may provide appropriate hedging with respect to the interest rate risk.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Springer
dc.rights ©Springer Science+Business Media
dc.subject.other Interest rate risk
dc.subject.other Maximin portfolio
dc.subject.other Semi-infinite programming
dc.title Hedging Interest Rate Risk by Optimization in Banach Spaces
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1007/s10957-006-9124-6
dc.subject.eciencia Empresa
dc.identifier.doi 10.1007/s10957-006-9124-6
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 175
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 191
dc.identifier.publicationtitle Journal of Optimization Theory and Application
dc.identifier.publicationvolume 132
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