Using linear and goal programming to immunize bond portfolios

Gordon J. Alexander; Bruce G. Resnick

doi:10.1016/0378-4266(85)90061-5

Using linear and goal programming to immunize bond portfolios

Gordon J. Alexander, Bruce G. Resnick

Finance

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

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 language	English (US)
Pages (from-to)	35-54
Number of pages	20
Journal	Journal of Banking and Finance
Volume	9
Issue number	1
DOIs	https://doi.org/10.1016/0378-4266(85)90061-5
State	Published - Mar 1985

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title = "Using linear and goal programming to immunize bond portfolios",

abstract = "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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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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Using linear and goal programming to immunize bond portfolios

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