Some finance problems solved with nonsmooth optimization techniques

Journal of Optimization Theory and Applications

Volumn 119, Issue 1, 2003, Pages 1-18

  Vinter, R B ^a   Zheng, H ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Bond duration; General term structure changes; Nonsmooth optimization; Transaction costs; Utility maximization

Indexed keywords

BOND DURATION; FINANCE PROBLEMS; GENERAL TERM STRUCTURE CHANGE; NON-SMOOTH ANALYSIS; NONSMOOTH OPTIMIZATION; OPTIMIZATION TECHNIQUES; STRUCTURE CHANGE; TERM STRUCTURE; TRANSACTION COST; UTILITY MAXIMIZATIONS;

INVESTMENTS;

EID: 0344943300     PISSN: 00223239     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:JOTA.0000005037.49022.1a     Document Type: Article

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