This paper presents a method for maximising the expected utility of terminal wealth of a portfolio of interest rate derivative securities with constraints primarily on the portfolio sensitivities. The constraints can be time and state dependent and can be enforced over the whole portfolio...

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...