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Medidas de dispersión como medidas del riesgo de inmunización

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  • Balbás, Alejandro
  • Ibáñez, Alfredo

Abstract

En el presente trabajo se discute cómo en principio cualquier medida de dispersión puede ser una medida del riesgo de inmunización. Es el conjunto de shocks y dentro de ellos los peores shocks los que determinan la forma de las medidas de dispersión, haciendo que sólo consideremos como medidas adecuadas a la medida cuadratica M2 y a la media lineal Ñ, porque vienen dadas por un conjunto de shocks y unos peores shocks razonables. Por último, se concluye que quizás la medida Ñ es una mejor medida del riesgo de inmunización que la medida M2.

Suggested Citation

  • Balbás, Alejandro & Ibáñez, Alfredo, 1995. "Medidas de dispersión como medidas del riesgo de inmunización," DEE - Documentos de Trabajo. Economía de la Empresa. DB 6421, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:dbrepe:6421
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    References listed on IDEAS

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    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 1541-1546, December.
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    Keywords

    Inmunizaci6n;

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