THE USE OF FUZZY PROGRAMMING FOR THE MANAGEMENT OF IMMUNISED FIXED INCOME PORTFOLIOS

Jorge de Andrés, M. Glòria Barberà and Antonio Terceño
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Jorge de Andrés: Faculty of Management and Economic Sciences, Rovira i Virgili University, Spain
M. Glòria Barberà: Faculty of Management and Economic Sciences, Rovira i Virgili University, Spain
Antonio Terceño: Faculty of Management and Economic Sciences, Rovira i Virgili University, Spain

Chapter 9 in Fuzzy Sets in Management, Economics and Marketing, 2001, pp 129-143 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe programming models for selecting fixed income portfolios that are usually proposed in the literature have a number of limitations. For example, they consider profit and immunising risk to be mutually exclusive or suppose a clearly defined planning horizon. In this paper we propose the use of fuzzy programming to solve these limitations and to formalise the problem in a more realistic and flexible way.

Date: 2001
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