Geodesic
On risk minimizing strategies for default-free bond portfolio immunization
Marek Kałuszka 1   ; Alina Kondratiuk-Janyska 1
1 Institute of Mathematics Technical University of /Lódź /Zeromskiego 116 90-924 /Lódź, Poland
Applicationes Mathematicae, Tome 31 (2004) no. 3, pp. 259-272 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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This paper presents new strategies for bond portfolio immunization which combine the time-honored duration with the M-Absolute measure defined by Nawalkha and Chambers (1996). The innovation consists in considering an average shock in a fixed time period as a random variable with mean $\mu $ or, alternatively, with normal distribution with mean $\mu $ and variance $\sigma ^2$. Additionally, an extension to arbitrage free models of polynomial shocks is provided. Moreover, the Fisher and Weil model, the M-Absolute strategy and a new one are compared empirically with respect to financial liquidity.
DOI : 10.4064/am31-3-2
Keywords: paper presents strategies bond portfolio immunization which combine time honored duration m absolute measure defined nawalkha chambers innovation consists considering average shock fixed time period random variable mean alternatively normal distribution mean variance sigma additionally extension arbitrage models polynomial shocks provided moreover fisher weil model m absolute strategy compared empirically respect financial liquidity

Marek Kałuszka  1   ; Alina Kondratiuk-Janyska  1

1 Institute of Mathematics Technical University of /Lódź /Zeromskiego 116 90-924 /Lódź, Poland 
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Marek Kałuszka; Alina Kondratiuk-Janyska. On risk minimizing strategies for
 default-free bond portfolio immunization. Applicationes Mathematicae, Tome 31 (2004) no. 3, pp. 259-272. doi: 10.4064/am31-3-2

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