| Article ID: | iaor20001599 |
| Country: | Netherlands |
| Volume: | 114 |
| Issue: | 2 |
| Start Page Number: | 389 |
| End Page Number: | 394 |
| Publication Date: | Apr 1999 |
| Journal: | European Journal of Operational Research |
| Authors: | Ghezzi Luca Luigi |
| Keywords: | programming: dynamic |
A simple immunization problem is formulated as a maxmin optimal control problem and analytically solved by means of dynamic programming. The optimal control law, namely the immunization policy, turns out to be quite different from any duration-based immunization policy. Moreover, it is seemingly able to discriminate between favourable and unfavourable changes in the yield curve.