Warianty tytułu
Języki publikacji
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)
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
Rocznik
Strony
191-202
Opis fizyczny
Twórcy
autor
autor
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.
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- Chambers D.R., Carleton W.T., McEnally R.W. (1988), Immunizing Default-Free Sond Portfolios with Duration Vector, "Journal of Financial and Quantitative Analysis".
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- 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.
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- 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.
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- 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).
Typ dokumentu
Bibliografia
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