{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,21]],"date-time":"2026-04-21T10:42:15Z","timestamp":1776768135938,"version":"3.51.2"},"reference-count":46,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2016,6,8]],"date-time":"2016-06-08T00:00:00Z","timestamp":1465344000000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"funder":[{"DOI":"10.13039\/501100001824","name":"Czech Science Foundation (CZ)","doi-asserted-by":"publisher","award":["15-23699S"],"award-info":[{"award-number":["15-23699S"]}],"id":[{"id":"10.13039\/501100001824","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100006443","name":"Vysok\u00e1 \u0160kola b\u00e1nsk\u00e1 - Technick\u00e1 Univerzita Ostrava (CZ)","doi-asserted-by":"publisher","award":["SP2016\/11"],"award-info":[{"award-number":["SP2016\/11"]}],"id":[{"id":"10.13039\/501100006443","id-type":"DOI","asserted-by":"publisher"}]},{"name":"murst (IT)","award":["2014"],"award-info":[{"award-number":["2014"]}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,1]]},"DOI":"10.1007\/s10479-016-2182-8","type":"journal-article","created":{"date-parts":[[2016,6,8]],"date-time":"2016-06-08T15:50:33Z","timestamp":1465401033000},"page":"395-415","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":17,"title":["Portfolio selection strategy for fixed income markets with immunization on average"],"prefix":"10.1007","volume":"260","author":[{"given":"Sergio","family":"Ortobelli","sequence":"first","affiliation":[]},{"given":"Sebastiano","family":"Vitali","sequence":"additional","affiliation":[]},{"given":"Marco","family":"Cassader","sequence":"additional","affiliation":[]},{"given":"Tom\u00e1\u0161","family":"Tich\u00fd","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2016,6,8]]},"reference":[{"key":"2182_CR1","first-page":"119","volume-title":"Financial hedging","author":"E Angelelli","year":"2009","unstructured":"Angelelli, E., & Ortobelli, S. L. (2009). American and European portfolio selection strategies: The Markovian approach. In P. N. Catlere (Ed.), Financial hedging (pp. 119\u2013152). New York: Nova Science Publishers."},{"issue":"3","key":"2182_CR2","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1111\/1467-9965.00068","volume":"9","author":"P Artzner","year":"1999","unstructured":"Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203\u2013228.","journal-title":"Mathematical Finance"},{"issue":"6","key":"2182_CR3","doi-asserted-by":"crossref","first-page":"1229","DOI":"10.1016\/S0378-4266(01)00168-6","volume":"26","author":"A Balb\u00e1s","year":"2002","unstructured":"Balb\u00e1s, A., Ib\u00e1\u00f1ez, A., & L\u00f3pez, S. (2002). Dispersion measures as immunization risk measures. Journal of Banking & Finance, 26(6), 1229\u20131244.","journal-title":"Journal of Banking & Finance"},{"key":"2182_CR4","doi-asserted-by":"crossref","unstructured":"Bertocchi, M., Consigli, G., D\u2019Ecclesia, R., Giacometti, R., Moriggia, V., & Ortobelli, L. S. (2013). Euro bonds: Markets, infrastructure and trends. Singapore: World Scientific.","DOI":"10.1142\/8661"},{"issue":"2","key":"2182_CR5","doi-asserted-by":"crossref","first-page":"348","DOI":"10.1016\/j.ejor.2003.08.047","volume":"161","author":"M Bertocchi","year":"2005","unstructured":"Bertocchi, M., Giacometti, R., & Zenios, S. A. (2005). Risk factor analysis and portfolio immunization in the corporate bond market. European Journal of Operational Research, 161(2), 348\u2013363.","journal-title":"European Journal of Operational Research"},{"key":"2182_CR6","first-page":"117","volume-title":"Optimizing optimization: The next generation of optimization applications and theory","author":"A Biglova","year":"2009","unstructured":"Biglova, A., Ortobelli, S. L., Rachev, S., & Fabozzi, F. (2009). Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions. In S. Satchell (Ed.), Optimizing optimization: The next generation of optimization applications and theory (pp. 117\u2013141). Amsterdam: Academic Press."},{"issue":"1","key":"2182_CR7","doi-asserted-by":"crossref","first-page":"103","DOI":"10.3905\/jpm.2004.443328","volume":"31","author":"A Biglova","year":"2004","unstructured":"Biglova, A., Ortobelli, S., Rachev, S. T., & Stoyanov, S. (2004). Different approaches to risk estimation in portfolio theory. The Journal of Portfolio Management, 31(1), 103\u2013112.","journal-title":"The Journal of Portfolio Management"},{"key":"2182_CR8","doi-asserted-by":"crossref","unstructured":"Boyle, P., Garlappi, L., Uppal, R., & Wang, T. (2012). Keynes meets Markowitz: The trade-off between familiarity and diversification. Management Science, 58(2), 253\u2013272.","DOI":"10.1287\/mnsc.1110.1349"},{"issue":"4","key":"2182_CR9","doi-asserted-by":"crossref","first-page":"1553","DOI":"10.1111\/j.1540-6261.2006.00883.x","volume":"61","author":"JY Campbell","year":"2006","unstructured":"Campbell, J. Y. (2006). Household finance. The Journal of Finance, 61(4), 1553\u20131604.","journal-title":"The Journal of Finance"},{"key":"2182_CR10","first-page":"220","volume":"2","author":"M Cassader","year":"2014","unstructured":"Cassader, M., Ortobelli, S. L., Caviezel, V., & Caglio, S. (2014). On the use of contingent claims in portfolio selection problems. International Journal of Economics and Statistics, 2, 220\u2013229.","journal-title":"International Journal of Economics and Statistics"},{"issue":"4","key":"2182_CR11","doi-asserted-by":"crossref","first-page":"490","DOI":"10.1287\/mnsc.8.4.490","volume":"8","author":"PL Cheng","year":"1962","unstructured":"Cheng, P. L. (1962). Optimum bond portfolio selections. Management Science, 8(4), 490\u2013499.","journal-title":"Management Science"},{"issue":"2","key":"2182_CR12","doi-asserted-by":"crossref","first-page":"51","DOI":"10.3905\/jpm.1994.409472","volume":"20","author":"PO Christensen","year":"1994","unstructured":"Christensen, P. O., & S\u00f8rensen, B. G. (1994). Duration, convexity, and time value. The Journal of Portfolio Management, 20(2), 51\u201360.","journal-title":"The Journal of Portfolio Management"},{"issue":"Summer","key":"2182_CR13","first-page":"56","volume":"13","author":"P Cogneau","year":"2009","unstructured":"Cogneau, P., & H\u00fcbner, G. (2009a). The (more than) 100 ways to measure portfolio performance. Part 1: Standardized risk-adjusted measures. Journal of Performance Measurement, 13(Summer), 56\u201371.","journal-title":"Journal of Performance Measurement"},{"issue":"Fall","key":"2182_CR14","first-page":"56","volume":"14","author":"P Cogneau","year":"2009","unstructured":"Cogneau, P., & H\u00fcbner, G. (2009b). The (more than) 100 ways to measure portfolio performance. Part 2: Special measures and comparison. Journal of Performance Measurement, 14(Fall), 56\u201369.","journal-title":"Journal of Performance Measurement"},{"key":"2182_CR15","doi-asserted-by":"crossref","first-page":"171","DOI":"10.1142\/9789814440165_0007","volume-title":"Euro bonds: Markets, infrastructure and trends","author":"G Consigli","year":"2013","unstructured":"Consigli, G. (2013). Market bond products. In M. Bertocchi, et al. (Eds.), Euro bonds: Markets, infrastructure and trends (pp. 171\u2013222). Singapore: World Scientific."},{"key":"2182_CR16","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1007\/978-3-642-57846-5_4","volume-title":"Financial risk in insurance","author":"M Felice De","year":"2000","unstructured":"De Felice, M. (2000). Immunization theory: An actuarial perspective on asset-liability management. In G. Ottaviani (Ed.), Financial risk in insurance (pp. 63\u201385). Berlin: Springer."},{"key":"2182_CR17","doi-asserted-by":"crossref","unstructured":"D\u00edaz, A., Gonz\u00e1l\u00e9z, M. D., Navarro, E., & Skinner, F. S. (2009). An evaluation of contingent immunization. Journal of Banking & Finance, 33(10), 1874\u20131883.","DOI":"10.1016\/j.jbankfin.2009.04.008"},{"issue":"6","key":"2182_CR18","doi-asserted-by":"crossref","first-page":"1435","DOI":"10.1111\/1468-0262.00167","volume":"68","author":"R Davidson","year":"2000","unstructured":"Davidson, R., & Jean-Yves, D. (2000). Statistical inference for stochastic dominance and for the measurement of poverty and inequality. Econometrica, 68(6), 1435\u20131464.","journal-title":"Econometrica"},{"key":"2182_CR19","volume-title":"The handbook of fixed income securities","author":"FJ Fabozzi","year":"2005","unstructured":"Fabozzi, F. J. (2005). The handbook of fixed income securities (Vol. 6). New York: McGraw-Hill."},{"key":"2182_CR20","volume-title":"Duration, convexity, and other bond risk measures","author":"FJ Fabozzi","year":"1999","unstructured":"Fabozzi, F. J. (1999). Duration, convexity, and other bond risk measures. Chichester: Wiley."},{"issue":"1","key":"2182_CR21","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1007\/s10479-009-0515-6","volume":"176","author":"FJ Fabozzi","year":"2010","unstructured":"Fabozzi, F. J., Dashan, H., & Guofu, Z. (2010). Robust portfolios: Contributions from operations research and finance. Annals of Operations Research, 176(1), 191\u2013220.","journal-title":"Annals of Operations Research"},{"issue":"1","key":"2182_CR22","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(93)90023-5","volume":"33","author":"EF Fama","year":"1993","unstructured":"Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3\u201356.","journal-title":"Journal of Financial Economics"},{"issue":"10","key":"2182_CR23","doi-asserted-by":"crossref","first-page":"2057","DOI":"10.1016\/j.jbankfin.2007.12.026","volume":"32","author":"S Farinelli","year":"2008","unstructured":"Farinelli, S., Ferreira, M., Rossello, D., Thoeny, M., & Tibiletti, L. (2008). Beyond Sharpe ratio: Optimal asset allocation using different performance ratios. Journal of Banking & Finance, 32(10), 2057\u20132063.","journal-title":"Journal of Banking & Finance"},{"issue":"4","key":"2182_CR24","doi-asserted-by":"crossref","first-page":"408","DOI":"10.1086\/295402","volume":"44","author":"L Fisher","year":"1971","unstructured":"Fisher, L., & Weil, R. L. (1971). Coping with the risk of interest-rate fluctuations: Returns to bondholders from naive and optimal strategies. The Journal of Business, 44(4), 408\u2013431.","journal-title":"The Journal of Business"},{"issue":"5","key":"2182_CR25","doi-asserted-by":"crossref","first-page":"1541","DOI":"10.1111\/j.1540-6261.1984.tb04923.x","volume":"39","author":"HG Fong","year":"1984","unstructured":"Fong, H. G., & Vasicek, O. A. (1984). A risk minimizing strategy for portfolio immunization. The Journal of Finance, 39(5), 1541\u20131546.","journal-title":"The Journal of Finance"},{"issue":"1","key":"2182_CR26","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/S0378-4266(96)00018-0","volume":"21","author":"IJ Fooladi","year":"1997","unstructured":"Fooladi, I. J., Roberts, G. S., & Skinner, F. (1997). Duration for bonds with default risk. Journal of Banking & Finance, 21(1), 1\u201316.","journal-title":"Journal of Banking & Finance"},{"key":"2182_CR27","doi-asserted-by":"crossref","first-page":"1545","DOI":"10.1016\/j.jbankfin.2006.12.003","volume":"31","author":"I Kondor","year":"2007","unstructured":"Kondor, I., Pafka, S., & Nagy, G. (2007). Noise sensitivity of portfolio selection under various risk measures. Journal of Banking & Finance, 31, 1545\u20131573.","journal-title":"Journal of Banking & Finance"},{"issue":"1","key":"2182_CR28","first-page":"19","volume":"4","author":"F Lamantia","year":"2006","unstructured":"Lamantia, F., Ortobelli, S., & Rachev, S. (2006). VaR, CVaR and time rules with elliptical and asymmetric stable distributed returns. Investment Management and Financial Innovations, 4(1), 19\u201339.","journal-title":"Investment Management and Financial Innovations"},{"key":"2182_CR29","volume-title":"Short selling on the New York stock exchange","author":"FR Macaulay","year":"1951","unstructured":"Macaulay, F. R. (1951). Short selling on the New York stock exchange. New York: Twentieth Century Fund."},{"key":"2182_CR30","doi-asserted-by":"publisher","unstructured":"Martin, R. D., Rachev, S. T., & Siboulet, F. (2003). Phi-alpha optimal portfolios and extreme risk management. Willmott, November, 70\u201383. doi: 10.1002\/wilm.42820030619 .","DOI":"10.1002\/wilm.42820030619"},{"key":"2182_CR31","volume-title":"Comparison methods for stochastic models and risks","author":"A M\u00fcller","year":"2002","unstructured":"M\u00fcller, A., & Stoyan, D. (2002). Comparison methods for stochastic models and risks. Chichester: Wiley."},{"key":"2182_CR32","doi-asserted-by":"crossref","DOI":"10.1093\/acprof:oso\/9780199575084.001.0001","volume-title":"Fixed income modelling","author":"C Munk","year":"2011","unstructured":"Munk, C. (2011). Fixed income modelling. Oxford: Oxford University Press."},{"issue":"5","key":"2182_CR33","first-page":"5","volume":"47","author":"SL Ortobelli","year":"2011","unstructured":"Ortobelli, S. L., Angelelli, E., & Toninelli, D. (2011). Set-portfolio selection with the use of market stochastic bounds. Emerging Markets Finance and Trade, 47(5), 5\u201324.","journal-title":"Emerging Markets Finance and Trade"},{"issue":"2","key":"2182_CR34","doi-asserted-by":"crossref","first-page":"198","DOI":"10.1287\/mnsc.43.2.198","volume":"43","author":"J Paroush","year":"1997","unstructured":"Paroush, J., & Prisman, E. Z. (1997). On the relative importance of duration constraints. Management Science, 43(2), 198\u2013205.","journal-title":"Management Science"},{"issue":"01","key":"2182_CR35","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1142\/S0219024908004713","volume":"11","author":"S Rachev","year":"2008","unstructured":"Rachev, S., Ortobelli, S., Stoyanov, S., Fabozzi, F. J., & Biglova, A. (2008). Desirable properties of an ideal risk measure in portfolio theory. International Journal of Theoretical and Applied Finance, 11(01), 19\u201354.","journal-title":"International Journal of Theoretical and Applied Finance"},{"issue":"3","key":"2182_CR36","doi-asserted-by":"crossref","first-page":"286","DOI":"10.1017\/S0020268100052811","volume":"78","author":"FM Redington","year":"1952","unstructured":"Redington, F. M. (1952). Review of the principles of life-office valuations. Journal of the Institute of Actuaries, 78(3), 286\u2013340.","journal-title":"Journal of the Institute of Actuaries"},{"issue":"7","key":"2182_CR37","doi-asserted-by":"crossref","first-page":"1443","DOI":"10.1016\/S0378-4266(02)00271-6","volume":"26","author":"RT Rockafellar","year":"2002","unstructured":"Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443\u20131471.","journal-title":"Journal of Banking & Finance"},{"issue":"1","key":"2182_CR38","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1111\/j.1540-6261.1971.tb00588.x","volume":"26","author":"R Roll","year":"1971","unstructured":"Roll, R. (1971). Investment diversification and bond maturity. The Journal of Finance, 26(1), 51\u201366.","journal-title":"The Journal of Finance"},{"key":"2182_CR39","doi-asserted-by":"crossref","unstructured":"Sharpe, W. F. (1994). The Sharpe ratio. The Journal of Portfolio Management, 21(1), 49\u201358.","DOI":"10.3905\/jpm.1994.409501"},{"issue":"4","key":"2182_CR40","doi-asserted-by":"crossref","first-page":"44","DOI":"10.2469\/faj.v60.n4.2636","volume":"60","author":"M Statman","year":"2004","unstructured":"Statman, M. (2004). The diversification puzzle. Financial Analysts Journal, 60(4), 44\u201353.","journal-title":"Financial Analysts Journal"},{"issue":"5","key":"2182_CR41","doi-asserted-by":"crossref","first-page":"401","DOI":"10.1080\/13504860701255292","volume":"14","author":"SV Stoyanov","year":"2007","unstructured":"Stoyanov, S. V., Rachev, S. T., & Fabozzi, F. J. (2007). Optimal financial portfolios. Applied Mathematical Finance, 14(5), 401\u2013436.","journal-title":"Applied Mathematical Finance"},{"issue":"2","key":"2182_CR42","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","volume":"5","author":"O Vasicek","year":"1977","unstructured":"Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177\u2013188.","journal-title":"Journal of Financial Economics"},{"key":"2182_CR43","unstructured":"Vissing-Jorgensen, A. (2004). Perspectives on behavioral finance: Does \u2018irrationality\u2019 disappear with wealth? Evidence from expectations and actions. In NBER macroeconomics annual 2003 (Vol. 18, pp. 139\u2013208). Cambridge: The MIT Press."},{"issue":"4","key":"2182_CR44","doi-asserted-by":"crossref","first-page":"589","DOI":"10.1086\/295579","volume":"46","author":"RL Weil","year":"1973","unstructured":"Weil, R. L. (1973). Macaulay\u2019s duration: An appreciation. The Journal of Business, 46(4), 589\u2013592.","journal-title":"The Journal of Business"},{"issue":"4","key":"2182_CR45","doi-asserted-by":"crossref","first-page":"48","DOI":"10.3905\/jpm.1977.408615","volume":"3","author":"JB Yawitz","year":"1977","unstructured":"Yawitz, J. B., & Marshall, W. J. (1977). Risk and return in the government bond market. The Journal of Portfolio Management, 3(4), 48\u201352.","journal-title":"The Journal of Portfolio Management"},{"issue":"1","key":"2182_CR46","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1007\/BF02031744","volume":"59","author":"SA Zenios","year":"1995","unstructured":"Zenios, S. A. (1995). Asset\/liability management under uncertainty for fixed-income securities. Annals of Operations Research, 59(1), 77\u201397.","journal-title":"Annals of Operations Research"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-016-2182-8\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2182-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2182-8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2182-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,9,9]],"date-time":"2019-09-09T07:31:04Z","timestamp":1568014264000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-016-2182-8"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,6,8]]},"references-count":46,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2018,1]]}},"alternative-id":["2182"],"URL":"https:\/\/doi.org\/10.1007\/s10479-016-2182-8","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2016,6,8]]}}}