Using linear and goal programming to immunize bond portfolios |
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| Authors: | Gordon J. Alexander Bruce G. Resnick |
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| Affiliation: | 1. University of California, Los Angeles, CA 90024, USA;2. University of Minnesota, Minneapolis, MN 55455, USA |
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| Abstract: | Bierwag and Khang's (1979) model of immunizing a portfolio of default-free government bonds is expanded here to include default-grade corporate bonds. The immunizing equation is found to be slightly different. Both linear and goal programming are shown to be alternative techniques for identifying an investor's optimal immunizing portfolio. |
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