On Duration-Dispersion Strategies for Portfolio Immunization

• Autorzy: Marek Kałuszka , Alina Kondratiuk-Janyska
• Języki publikacji: EN

Abstrakty

W artykule przedstawiono nową strategię uodparniania portfela, w skład którego wchodzą obligacje bez opcji zakupu przysługującej emitentowi (noncallable) i wolne od ryzyka niewykupienia (default-free). Strategia polega na minimalizacji miary, która jest liniową kombinacją luki duracyjnej i miary rozrzutu, przy różnych klasach zaburzeń chwilowej terminowej stopy procentowej (instantaneous forward rate). Ponadto otrzymano uogólnienia nierówności Fonga i Vasiceka (1984), Nawalkhai i Chambersa (1996) oraz Balbâsa i Ibâneza (1998) na dolne ograniczenie zmiany wartości portfela w chwili rozliczenia. (abstrakt oryginalny)

EN

This paper deals with new immunization strategies for a noncallable and default-free bond portfolio. This approach refers to the Fong and Vasicek (1984), the Nawalkha and Chambers (1996), the Balbàs and Ibáňez (1998), and the Balbàs, Ibáňez and Lopez (2002) studies among others and relies on minimizing a single-risk measure which is a linear combination of the duration gap and the dispersion of portfolio payments. (original abstract)

Słowa kluczowe

PL

Portfel papierów wartościowych; Obligacje

EN

Portfolio securities; Bonds

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2004
• Tom: 177 Rynki finansowe, prognozy a decyzje
• Strony: 191-202

Twórcy

autor

Marek Kałuszka

autor

Alina Kondratiuk-Janyska

Bibliografia

• Balbàs A., Ibáňez A., (1998), When Can You Immunize a Bond Portfolio! "Journal of Banking and Finance", 22.
• Balbàs A., Ibáňez A., Lopez S. (2002), Dispersion Measures as Immunization Risk Measures, "Journal of Banking and Finance", 26.
• Bierwag G.O., Kaufman G.G. (1977), Coping with the Risk of Interest Rate Fluctuations: A Note, "Journal of Business", 50.
• Bierwag G.O. (1987), Duration Analysis: Managing Interest Rate Risk, Ballinger, Cambridge, MA.
• Bierwag G.O., Fooladi I., Roberts G.S. (1993), Designing an Immunized Portfolio: Is M-Squared the Key?, "Journal of Banking and Finance", 17.
• Chambers D.R., Carleton W.T., McEnally R.W. (1988), Immunizing Default-Free Sond Portfolios with Duration Vector, "Journal of Financial and Quantitative Analysis".
• Cox J.C., Ingersoll J.E., Ross S.A. (1979), Duration and the Measurement of Basis Risk, "Journal of Business", 56 (1).
• Crack T.F., Nawalkha S.K. (2000), Interest Rate Sensitivities of Bond Risk Measures, "Financial Analysts Journal", 56 (1).
• Durrett R. (1996), Probability: Theory and Examples, Duxbury Press, Belmont.
• Fabozzi F.I. (1993), Bond Markets, Analysis and Strategies, Prentice Hall, Englewood Cliffs.
• Fisher L., Weil R.L. (1971), Coping with Risk of Interest Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies, "Journal of Business", 44.
• Fong H.G., Vasicek O.A. (1984), A Risk Minimizing Strategy for Portfolio Immunization, "Journal of Finance", 39 (5).
• Hicks J.R. (1939), Value and Capital, Clarendon Press, Oxford.
• Ilmanen A. (1992), How Well Does Duration Measure Interest Rate Risk?, "The Journal of Fixed Income", 1 (4).
• Jackowicz K. (1999), Zarządzanie ryzykiem stopy procentowej. Metoda duracji, PWN, Warszawa.
• Khang Ch. (1979), Bond Immunization when Short-Term Rates Fluctuate More than Long-Term Rates, "Journal of Financial and Quantitative Analysis".
• Macaulay F. (1938), Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856, National Bureau of Economic Research, New York.
• Montrucchio L., Peccati L. (1991), A Note on Shiu-Fisher-Weil Immunization Theorem, "Insurance: Mathematics and Economics", 10.
• Nawalkha S.K., Chambers D.R. (1996), An Improved Immunization Strategy; M-Absolute, "Financial Analysts Journal", September-October.
• Nawalkha S.K., Chambers D.R. (eds), (1999), Interest Rate Risk Measurement and Management, Institutional Investor, New York.
• Panjer H.H. (ed.), (1998), Financial Economics with Applications to Investment, Insurance and Pensions, The Actuarial Foundation.
• Prisman E.Z. (1986), Immunization as a Maxmin Strategy, "Journal of Banking and Finance" 10.
• Prisman E.Z., Shores M.R. (1988), Duration Measures for Specific Term Structure Estimations and Applications to Bond Portfolio Immunization, "Journal of Banking and Finance", 12.
• Redington P.M. (1952), Review of the Principle of Life-Office Valuations, "Journal of the Institute of Actuaries", 18.
• Reitano R.R. (1991), Multivariate Duration Analysis, "Transactions of the Society of Actuaries", 43.
• Reitano R.R. (1992), Non-Parallel Yield Curve Shifts and Immunization, "Journal of Portfolio Analysis", spring.
• Rządkowski G., Zaremba L.S. (2000), New Formulas for Immunizing Durations, "Journal of Derivatives", winter.
• Samuelson P.A. (1945), The Effects of Interest Rates Increases on the Banking System, "American Economic Review", 35.
• Shiu E.S.W. (1987), On the Fisher-Weil Immunization Theorem, "Insurance: Mathematics and Economics", 6.
• Zaremba L.S. (1998), Construction of a k-Immunization Strategy with the Highest Convexity, "Control and Cybernetics", 27.
• Zaremba L.S., Smoleński W. (2000a), Optimal Portfolio Choice under a Liability Constraint, "Annals of Operations Research", 97.
• Zaremba L.S., Smoleński W. (2000b), How to Find a Bond Portfolio with the Highest Convexity in a Class of Fixed Duration Portfolios, "Bulletin PAN. Technical Sciences", 48 (2).