| Article ID: | iaor200245 |
| Country: | United States |
| Volume: | 112 |
| Issue: | 1 |
| Start Page Number: | 33 |
| End Page Number: | 40 |
| Publication Date: | Jun 2000 |
| Journal: | Applied Mathematics and Computation |
| Authors: | Ghezzi L.L. |
| Keywords: | programming: dynamic |
An immunization problem is considered in which a bond portfolio is to be periodically rebalanced. Max–min optimal control is applied to the problem. The target is to maximize the final portfolio value under the worst possible evolution of interest rates. The optimal control law, obtained by means of dynamic programming, turns out to be different from any duration-based immunization policy.