Portfolio immunization under cone restrictions

• Autorzy: Gajek L. , Krajewska E.

Identyfikatory

DOI

10.1515/jaa-2017-0016

• Języki publikacji: EN

Abstrakty

EN

Interest rate risk for portfolios with random cash flows is mitigated via minimizing its L²-measure. A link between monotonicity of linear operators and immunization under cone restrictions is examined. The results are based on the Hilbert space methods applied to incomplete markets.

Słowa kluczowe

EN

immunization; asset liability management; interest rate risk; cone restrictions; monotonicity of linear operators

PL

immunizacja; zarządzanie aktywami i zobowiązaniami; ryzyko stopy procentowej; monotoniczność operatorów liniowych

• Wydawca: De Gruyter
• Czasopismo: Journal of Applied Analysis
• Rocznik: 2017
• Tom: Vol. 23, nr 2
• Strony: 127--135
• Opis fizyczny: Bibliogr. 13 poz.

Twórcy

autor

Gajek L.

• Institute of Mathematics, Lodz University of Technology, Wólczańska 215, 90-924 Łódź
• Polish Financial Supervision Authority (PFSA), Pl. P. Warszawy 1, 00-950 Warszawa, Poland

autor

Krajewska E.

• Institute of Mathematics, Lodz University of Technology, Wólczańska 215, 90-924 Łódź, Poland

Bibliografia

• [1] P. Alessandri and M. Drehmann, An economic capital model integrating credit and interest rate risk in the banking book, J. Banking Finance 34 (2010), 730-742.
• [2] G. Fong and O. Vasicek, A risk minimization strategy for portfolio immunization, J. Finance 39 (1984), 1541-1546.
• [3] L. Gajek, Axiom of solvency and portfolio immunization under random interest rates, Insurance Math. Econom. 36 (2005), 317-328.
• [4] L. Gajek and E. Krajewska, A new immunization inequality for random streams of assets, liabilities and interest rates, Insurance Math. Econom. 53 (2013), 624-631.
• [5] L. Gajek and E. Krajewska, On a weighted Lp-immunization, J. Risk, to appear.
• [6] L. Gajek and K. Ostaszewski, Financial Risk Management for Pension Plans, Elsevier, Amsterdam, 2004.
• [7] E. Krajewska, Geometric theory of immunization for incomplete markets (in Polish), Ph.D. Thesis, Technical University of Lodz, 2014.
• [8] H. H. Panjer, Financial Economics: With Applications to Investments, Insurance and Pensions, The Actuarial Foundation, Schamburg, 1998.
• [9] F. M. Redington, Review of principles of life-office valuations, J. Inst. Actuaries 78 (1952), 286-315.
• [10] R. R. Reitano, Non-parallel yield curve shifts and stochastic immunization, J. Portfolio Manag. 22 (1996), 71-78.
• [11] R. T. Rockafellar, Convex Analysis, Princeton University Press, Princeton, 1970.
• [12] L. Sandgren, On convex cones, Math. Scand. 2 (1954), 19-28.
• [13] E. S. W. Shiu, Immunization of multiple liabilities, Insurance Math. Econom. 7 (1988), 219-224.

Uwagi

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę (zadania 2017).