Assets/liabilities portfolio immunization as an optimization problem

• Autorzy: Kondratiuk-Janyska A. , Kałuszka M.
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to present bond portfolio immunization strategies in the case of multiple liabilities, based on single-risk or multiple-risk measure models under the assumption of multiple shocks in the term structure of interest rates referring, in particular, to Fong and Vasicek (1984), Nawalkha and Chambers (1996), Balbas and Ibanez (1998) and Hurlimann (2002). Immunization problem is formulated as a constrained optimization problem under a fixed open loop strategy. New risk measures associated with changes of the term structure are also defined.

Słowa kluczowe

EN

immunization; optimization problem; single risk measures; multiple risk measure

PL

immunizacja; zagadnienie optymalizacji

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2006
• Tom: Vol. 35, no 2
• Strony: 335--349
• Opis fizyczny: Bibliogr. 22 poz.

Twórcy

autor

Kondratiuk-Janyska A.

autor

Kałuszka M.

• Center of Mathematics and Physics, Technical University of Łódź, Al. Politechniki 11, 90-924 Łódź, Poland,

Bibliografia

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