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A note on Shiu--Fisher--Weil immunization theorem

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  • Montrucchio, Luigi
  • Peccati, Lorenzo

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  • Montrucchio, Luigi & Peccati, Lorenzo, 1991. "A note on Shiu--Fisher--Weil immunization theorem," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 125-131, July.
    • Handle: RePEc:eee:insuma:v:10:y:1991:i:2:p:125-131
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    Citations

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    Cited by:

    1. Luigi Montrucchio & Luisa Tibiletti, 1993. "Risk aversion in the small and Jensen inequalities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 16(2), pages 21-37, September.
    2. Balbás, Alejandro & Montagut, Esperanza H. & Pérez Fructuoso, María José, 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," DEE - Working Papers. Business Economics. WB wb043312, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    3. Joseba Iñaki De La Peña & Iván Iturricastillo & Rafael Moreno & Francisco Román & Eduardo Trigo, 2021. "Towards an immunization perfect model?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1181-1196, January.
    4. Michał Boczek & Marek Kałuszka, 2018. "On the Fong-Vašíček type inequalities for the assets/ liabilities portfolio immunization problem," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 209-228.
    5. Fredrik Armerin & Bjarne Astrup Jensen & Tomas Bjork, 2007. "Term Structure Models with Parallel and Proportional Shifts," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 243-260.
    6. Gajek, Leslaw, 2005. "Axiom of solvency and portfolio immunization under random interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 317-328, June.
    7. Barber, Joel R. & Copper, Mark L., 1998. "A minimax risk strategy for portfolio immunization," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 173-177, November.
    8. Hurlimann, Werner, 2002. "On immunization, stop-loss order and the maximum Shiu measure," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 315-325, December.
    9. Uberti, M., 1997. "A note on Shiu's immunization results," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 195-200, December.
    10. L. L. Ghezzi, 1997. "Immunization and Max–Min Optimal Control," Journal of Optimization Theory and Applications, Springer, vol. 95(3), pages 701-711, December.
    11. Ghezzi, Luca Luigi, 1999. "A maxmin policy for bond management," European Journal of Operational Research, Elsevier, vol. 114(2), pages 389-394, April.
    12. Balbás, Alejandro & Ibáñez, Alfredo, 1994. "When can you immunize a bond portfolio?," DEE - Working Papers. Business Economics. WB 7078, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

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