When can you immunize a bond portfolio?
AbstractThe object of this paper is to give conditions under which it is possible to immunize a bond portfolio. Maxmin strategies are also studied, as well as their relations with immunized ones. Some special shocks on the interest rate are analyzed, and general conditions about immunization are obtained. When immunization is not possible, capital losses are measured.
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/7078.
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Immunized portfolio; Maxmin portfolio; Weak immunization condition; The set of worst shocks;
Other versions of this item:
- Balbás, Alejandro & Ibáñez, Alfredo, 1998. "When Can you Immunize a Bond Portfolio?," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/6346, Universidad Carlos III de Madrid.
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- Marida Bertocchi & Rosella Giacometti & Stavros A. Zenios, 2000.
"Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market,"
Center for Financial Institutions Working Papers
00-40, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Bertocchi, Marida & Giacometti, Rosella & Zenios, Stavros A., 2005. "Risk factor analysis and portfolio immunization in the corporate bond market," European Journal of Operational Research, Elsevier, vol. 161(2), pages 348-363, March.
- Balbas, Alejandro & Ibanez, Alfredo & Lopez, Susana, 2002. "Dispersion measures as immunization risk measures," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1229-1244, June.
- Ventura Bravo, Jorge Miguel & Pereira da Silva, Carlos Manuel, 2006. "Immunization using a stochastic-process independent multi-factor model: The Portuguese experience," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 133-156, January.
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