Bonds Portfolio Management: Analysis and Application of the Model of Multiperiod Immunization
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.
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Volume (Year): (2004)
Issue (Month): 4 ()
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- 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.
- 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.
- Srichander Ramaswamy, 1997. "Global asset allocation in fixed income markets," BIS Working Papers 46, Bank for International Settlements.
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