Advanced Search
MyIDEAS: Login

Bonds Portfolio Management: Analysis and Application of the Model of Multiperiod Immunization

Contents:

Author Info

  • Ivan Popchev
  • Irina Radeva
Registered author(s):

    Abstract

    This article discusses the theoretical analysis and practical application of the model of semideterministic multiperiod immunization, used in the management of assets and liabilities. The emphasis is on the main theorems, underlying the theory of the immunization, the formulation of the resultant optimization problem and its linearization, the technological sequencing of its usage and the necessary preliminary processing of the data before the latter is input into the linear optimization function. The application of the model is illustrated with an example and the results achieved are commented upon in view of their applicability.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.ceeol.com/aspx/issuedetails.aspx?issueid=84051881-2f75-40f7-b6c7-b193257343ed&articleid=b9496933-4ec6-4f60-a6d2-4490d65ea7d0#ab9496933-4ec6-4f60-a6d2-4490d65ea7d0
    Download Restriction: Fee access

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Bulgarian Academy of Sciences - Economic Research Institute in its journal Economic Thought.

    Volume (Year): (2004)
    Issue (Month): 4 ()
    Pages: 28-43

    as in new window
    Handle: RePEc:bas:econth:y:2004:i:4:p:28-43

    Contact details of provider:
    Postal: 3, Aksakov Str., 1040, Sofia
    Phone: (+359 2) 810 40 18
    Fax: (+359 2) 988 21 08
    Email:
    Web page: http://www.iki.bas.bg
    More information through EDIRC

    Related research

    Keywords:

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Fong, H Gifford & Vasicek, Oldrich A, 1984. " A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-46, December.
    2. Srichander Ramaswamy, 1997. "Global asset allocation in fixed income markets," BIS Working Papers 46, Bank for International Settlements.
    3. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-31, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bas:econth:y:2004:i:4:p:28-43. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vassil Zahariev).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.