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Resource type: article, chapter

Optimal portfolio choice under a liability constraint (RB-1996-57)

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Title Optimal portfolio choice under a liability constraint (RB-1996-57)
Persons Authors: Włodzimierz Henryk Smoleński, Leszek Saturnin Zaremba
Partner: Systems Research Institute Polish Academy of Sciences, Warsaw
Description The problem of constructing the least expensive bond portfolio that enables an investor to meet his or her liability is treated in this article. Bond prices are allowed to be either overpriced or under-priced at the purchase time, while at the time of sale the bonds are assumed to be fairly priced. The problem is solved under the assumption that future changes in the term structure of interest rates will be proportional to their values. In addition a certain variation of this basic problem is formulated and completely solved. (English)
Keywords "wybór portfela inwestycyjnego"@pl, "optimization"@en, "optymalizacja"@pl, "bonds"@en, "investment portfolio choice"@en, "obligacje"@pl
Classification Resource type: article, chapter
Scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018)
Destination group: pupils, students, scientists
Harmful content: No
Characteristics Title of source document: RB-1996-57
Place of publication: Warszawa
Publisher: IBSPAN
Time of publication: 1996
From page: 1
To page: 15
Resource language: English
License CC BY-SA 4.0
Technical information Submitter: Anna Wasilewska
Availability date: 26-07-2022
Collections Kolekcja Instytutu Badań Systemowych PAN w Warszawie

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Włodzimierz Henryk Smoleński, Leszek Saturnin Zaremba. Optimal portfolio choice under a liability constraint (RB-1996-57). [article, chapter] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.

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