caa a22 4500 463169891 CHVBK 20180406164810.0 cr unu---uuuuu 170326e20070101xx s 000 0 eng 10.1007/s10957-006-9124-6 doi (NATIONALLICENCE)springer-10.1007/s10957-006-9124-6 Hedging Interest Rate Risk by Optimization in Banach Spaces [Elektronische Daten] [A. Balbás, R. Romera] This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one-period no-arbitrage approach of financial economics. Under quite weak assumptions, several maximin portfolios are introduced by means of semi-infinite mathematical programming problems. These problems involve several Banach spaces; consequently, infinite-dimensional versions of classical algorithms are required. Furthermore, the corresponding solutions satisfy a saddle-point condition illustrating how they may provide appropriate hedging with respect to the interest rate risk. Springer Science + Business Media, Inc., 2007 Interest rate risk nationallicence maximin portfolio nationallicence semi-infinite programming nationallicence Balbás A. Departamento de Economía de la Empresa, Universidad Carlos III de Madrid, Getafe, Madrid, Spain aut Romera R. Departamento de Estadistica, Universidad Carlos III de Madrid, Getafe, Madrid, Spain aut Journal of Optimization Theory and Applications Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 132/1(2007-01-01), 175-191 0022-3239 132:1<175 2007 132 10957 https://doi.org/10.1007/s10957-006-9124-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10957-006-9124-6 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Balbás A. Departamento de Economía de la Empresa, Universidad Carlos III de Madrid, Getafe, Madrid, Spain aut NATIONALLICENCE 700 1- Romera R. Departamento de Estadistica, Universidad Carlos III de Madrid, Getafe, Madrid, Spain aut NATIONALLICENCE 773 0- Journal of Optimization Theory and Applications Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 132/1(2007-01-01), 175-191 0022-3239 132:1<175 2007 132 10957 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer