On risk minimizing strategies for
default-free bond portfolio immunization
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
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.
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
Affiliations des auteurs :
Marek Kałuszka 1 ; Alina Kondratiuk-Janyska 1
@article{10_4064_am31_3_2,
author = {Marek Ka{\l}uszka and Alina Kondratiuk-Janyska},
title = {On risk minimizing strategies for
default-free bond portfolio immunization},
journal = {Applicationes Mathematicae},
pages = {259--272},
year = {2004},
volume = {31},
number = {3},
doi = {10.4064/am31-3-2},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.4064/am31-3-2/}
}
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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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