On the relative importance of duration constraints

Management Science

Volumn 43, Issue 2, 1997, Pages 198-205

  Paroush, Jacob ^a   Prisman, Eliezer Z ^a  

^a NONE

Author keywords

Duality; Fixed Income; Immunization; Interest Rate Risk

Indexed keywords

COSTS; FUNCTIONS; LINEAR PROGRAMMING; OPTIMIZATION; PRODUCTIVITY; RANDOM PROCESSES;

DURATION THEOREM; LINEAR FUNCTION;

MANAGEMENT SCIENCE;

EID: 0031062158     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.43.2.198     Document Type: Article

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