Assets/liabilities portfolio immunization as an optimization problem

Alina Kondratiuk-Janyska; Marek Kałuszka

Control and Cybernetics (2006)

  • Volume: 35, Issue: 2, page 335-349
  • ISSN: 0324-8569

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Kondratiuk-Janyska, Alina, and Kałuszka, Marek. "Assets/liabilities portfolio immunization as an optimization problem." Control and Cybernetics 35.2 (2006): 335-349. <http://eudml.org/doc/209419>.

@article{Kondratiuk2006,
author = {Kondratiuk-Janyska, Alina, Kałuszka, Marek},
journal = {Control and Cybernetics},
keywords = {immunization; optimization problem; single risk measures; multiple risk measure},
language = {eng},
number = {2},
pages = {335-349},
title = {Assets/liabilities portfolio immunization as an optimization problem},
url = {http://eudml.org/doc/209419},
volume = {35},
year = {2006},
}

TY - JOUR
AU - Kondratiuk-Janyska, Alina
AU - Kałuszka, Marek
TI - Assets/liabilities portfolio immunization as an optimization problem
JO - Control and Cybernetics
PY - 2006
VL - 35
IS - 2
SP - 335
EP - 349
LA - eng
KW - immunization; optimization problem; single risk measures; multiple risk measure
UR - http://eudml.org/doc/209419
ER -

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