Immunization and Max–Min Optimal Control

L. L. Ghezzi
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L. L. Ghezzi: Carlo Cattaneo University

Journal of Optimization Theory and Applications, 1997, vol. 95, issue 3, No 13, 711 pages

Abstract: Abstract A model of a term structure of interest rates is conceived in which disturbances are unknown and bounded. Arbitrage opportunities are ruled out by imposing suitable constraints to the disturbances. This sets the stage for casting a well-known immunization problem as a max-min optimal control problem. Dynamic programming is then used to obtain the analytical solution to such a problem. In this manner, a well-known immunization policy is proved to be optimal in a dynamic setting.

Keywords: Max–min optimal control; dynamic programming; immunization; term structure of interest rates (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1022686225209

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