An integrated optimization model for immunizing and matching pension funds bond portfolios.

An integrated optimization model for immunizing and matching pension funds bond portfolios.

The primary purpose of this thesis is to develop two innovative bond portfolio optimization models, based on the portfolio dedication and immunization strategies. The first mathematical program minimizes the initial capital required for the creation of a bond portfolio, and is best suited to a defin...

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Bibliographic Details
Main Authors: Μπουζιάνης, Γεώργιος, Bouzianis, Georgios
Other Authors: Ξυδώνας, Παναγιώτης
Language:English
Published: 2017
Subjects:
Stochastic dynamic integrative asset and liability management strategy
Matching immunization mathematical programming
Bond portfolio optimization
bond portfolio
Μαθηματικός προγραμματισμός για αντιστοίχιση και ανοσοποίηση
Βελτιστοποίηση ομολογιακών χαρτοφυλακίων
Στοχαστικός δυναμικός προγραμματισμός περιουσιακών στοιχείων και υποχρεώσεων
Matching theory (URL: http://id.loc.gov/authorities/subjects/sh85082044)
Bond (URL: http://zbw.eu/stw/descriptor/12234-1)
Mathematical programming (URL: http://zbw.eu/stw/descriptor/15055-0)
Online Access:http://hdl.handle.net/11610/17252
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http://hdl.handle.net/11610/17252

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