Using linear and goal programming to immunize bond portfolios

Gordon J. Alexander, Bruce G. Resnick

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)35-54
Number of pages20
JournalJournal of Banking and Finance
Issue number1
StatePublished - Mar 1985


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