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A Dynamic Global Portfolio Immunization Strategy in the World of Multiple Interest Rate Changes: A Dynamic Immunization and Minimax Theorem

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  • Khang, Chulsoon

Abstract

Recent studies by Fisher and Weil [7], Bierwag [2], [3], Bierwag and Kaufman [5], and Khang [9] demonstrate that it is possible to immunize a portfolio of default-free assets against unexpected interest rate changes so that at the end of the planning period the investor will realize at least the returns expected at purchase. However, this immunization strategy is applicable for the case in which the change in unexpected interest rate occurs only once at the instant after the purchase of the asset. Obviously, the case depicted above is not likely to resemble the real world situation in at least two respects. First, the interest rate change is likely to occur at any time and, second, the interest rate change is likely to occur many times during the investor's planning period.

Suggested Citation

  • Khang, Chulsoon, 1983. "A Dynamic Global Portfolio Immunization Strategy in the World of Multiple Interest Rate Changes: A Dynamic Immunization and Minimax Theorem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(3), pages 355-363, September.
    • Handle: RePEc:cup:jfinqa:v:18:y:1983:i:03:p:355-363_01
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    Cited by:

    1. Cláudia Simões & Luís Oliveira & Jorge M. Bravo, 2021. "Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits," Risks, MDPI, vol. 9(4), pages 1-28, March.
    2. L. L. Ghezzi, 1997. "Immunization and Max–Min Optimal Control," Journal of Optimization Theory and Applications, Springer, vol. 95(3), pages 701-711, December.

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