Browsing by Subject "Mathematical programming"
Now showing items 1-2 of 2
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Article
An Integrated Matching-Immunization Model for Bond Portfolio Optimization
(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 ...
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Conference Object
On multiobjective H2/H∞ optimal control
(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 ...