Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Tytuł artykułu

Shifts of the term structure of interest rates against which a given portfolio is preimmunized

Treść / Zawartość
Warianty tytułu
Języki publikacji
In this paper we formulate an immunization problem, which is rarely stated. Instead of reconstructing an existing bond portfolio B with the aim of securing a desired amount of, say L dollars, q years from now, against uncertain future interest rates shifts (under various, sometimes strong assumptions), we identify the shifts of the current term structure of interest rates against which portfolio B is already preimmunized. We state this problem in two different mathematical settings, and solve it with the help of Proposition 2 from Barber (1999), or, equivalently, Theorem 1 from Rzadkowski and Zaremba (2000). In the first part of this paper shifts are supposed to be polynomials of degree less than a certain number n, while in the second part, where we employ a Hilbert space approach, the shifts are allowed to be continuous functions.
Opis fizyczny
Bibliogr. 8 poz.
  • Institute of Information Systems, Polish Open University, ul. Domaniewska 37A, 02-672 Warszawa, Poland
  • BARBER, J.L. (1999) Bond Immunization for Affine Term Structures. Financial Review 34, 127-140.
  • BIERWAG, G., KAUFMAN, G. and LATTA, C.M. (1987) Bond portfolio immunization: Test of Maturity, One-and Two-Factor Duration Matching Strategies. Financial Review 2, 725-741.
  • FABOZZI, F. and FONG, G. (1994) Advanced Fixed Income Portfolio Management. Irwin.
  • FONG, H. and VASICEK, O. (1984) A risk minimizing strategy for portfolio immunization. J. of Finance 39, 1541-1546.
  • KHANG, C. (1979) Bond immunization when short-term interest rates fluctuate more than long-term rates. J. of Financial and Quantitative Analysis 14, 1085-1090.
  • NAVALKA, S. and CHAMBERS, D. (1996) An improved immunization strategy: M-Absolute. Financial Analysts Journal 52, 69-76.
  • RZADKOWSKI, G. and ZAREMBA, L.S. (2000) New formulas for immunizing durations. J. of Derivatives 8, 28-36.
  • ZAREMBA, L.S. (1998) Construction of a k-immunization strategy with the highest convexity. Control and Cybernetics 27, 135-144.
Typ dokumentu
Identyfikator YADDA
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.