Incorporating Convexity in Bond Portfolio Immunization Using Multifactor Model: A Semidefinite Programming Approach

Wei Zhu, Cai-Hong Zhang, Qian Liu, Shu-Shang Zhu

Journal of the Operations Research Society of China . 2018, (1): 3 -23 . DOI: 10.1007/s40305-018-0196-4