Browsing by Subject "Mathematical programming"

Now showing items 1-2 of 2

    • Article  

      An Integrated Matching-Immunization Model for Bond Portfolio Optimization 

      Xidonas, Panos; Hassapis, Christis; Bouzianis, G.; Staikouras, Christos (2016)
      We propose an integrated bond portfolio optimization model based on the popular cash-flow matching and immunization strategies. The underlying mathematical program, not only minimizes the initial required capital for the ...
    • Conference Object  

      On multiobjective H2/H∞ optimal control 

      Djouadi, S. M.; Charalambous, Charalambos D.; Repperger, D. W. (2001)
      In this paper the solutions to the optimal multiobjective H2/H∞ problem are characterized using Banach space duality theory, and shown to satisfy a flatness or allpass condition. Dual and predual spaces are identified, and ...