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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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An integrated matching-immunization model for bond portfolio optimization
Xidonas, P.; Hassapis, Christis; Bouzianis, G.; … - In: Computational economics 51 (2018) 3, pp. 595-605
Persistent link: https://www.econbiz.de/10011963712
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Stochastic Optimization for Portfolios Consisting of Corporate Bonds in an Integrated Market and Credit Risk Framework
Papanikolaou, Nikolaos E. - 2011
Persistent link: https://www.econbiz.de/10013131576
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Implementation of the Black-Derman-Toy interest rate model
Bjerksund, Petter; Stensland, Gunnar - 1995
Persistent link: https://www.econbiz.de/10000925604
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Estimating the number and location of knots in spline regressions
Marsh, Lawrence C. - In: The journal of applied business research 2 (1986) 2, pp. 60-70
Persistent link: https://www.econbiz.de/10001157279
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Das Marktzinsmodell in der bankbetrieblichen Einzelgeschäftskalkulation
Marusev, Alfred W. - 1991
Persistent link: https://www.econbiz.de/10000824903
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Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model
Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844
Persistent link: https://www.econbiz.de/10014391968
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Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates
Hata, Hiroaki; Sekine, Jun - In: Advances in mathematical economics 8 (2006), pp. 231-255
Persistent link: https://www.econbiz.de/10003308963
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A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
Chen, Homing; Hu, Cheng-feng - In: European journal of operational research : EJOR 204 (2010) 2, pp. 343-354
Persistent link: https://www.econbiz.de/10003947179
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Measurement of interest rates using a convex optimization model
Blomvall, Jörgen - In: European journal of operational research : EJOR 256 (2017) 1, pp. 308-316
Persistent link: https://www.econbiz.de/10011611272