On risk minimizing strategies for default-free bond portfolio immunization

• Autorzy: Marek Kałuszka , Alina Kondratiuk-Janyska
• Języki publikacji: EN

Abstrakty

EN

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 μ or, alternatively, with normal distribution with mean μ and variance σ². 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.

Kategorie tematyczne

• 62P20: Applications to economics

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2004
• Tom: 31
• Numer: 3
• Strony: 259-272

Daty

wydano

2004

Twórcy

autor

Marek Kałuszka

• Institute of Mathematics, Technical University of Łódź, Żeromskiego 116, 90-924 Łódź, Poland

autor

Alina Kondratiuk-Janyska

• Institute of Mathematics, Technical University of Łódź, Żeromskiego 116, 90-924 Łódź, Poland

Identyfikatory

DOI

10.4064/am31-3-2