Hedging Interest Rate Risk by Optimization in Banach Spaces

  • A. Balbás
  • R. RomeraEmail author


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.


Interest rate risk maximin portfolio semi-infinite programming 


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© Springer Science + Business Media, Inc. 2007

Authors and Affiliations

  1. 1.Departamento de Economía de la EmpresaUniversidad Carlos III de MadridGetafeSpain
  2. 2.Departamento de EstadisticaUniversidad Carlos III de MadridGetafeSpain

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