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    Wyświetlanie 1-5 z 5
    Tytuł:
    Determination of continuous shifts in the term structure of interest rates against which a bond portfolio is immunized
    Autorzy:
    Zaremba, L. S.
    Rządkowski, G.
    Powiązania:
    https://bibliotekanauki.pl/articles/206147.pdf
    Data publikacji:
    2016
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    immunization
    bond portfolios
    Lagrange function
    Opis:
    In this paper we identify those shifts (continuous functions) of the term structure of interest rates, against which a given bond portfolio (BP) is immunized. The set of such shifts (IMMU) happens to be an (m − 1)-dimensional linear subspace in an m-dimensional linear space of all admissible shifts. In the proof we use triangular (Lagrange) functions, by means of which we build a base for IMMU. How this IMMU space varies in response to changes in the cash flow generated by bond portfolio, BP, is also discussed in the last section of the paper.
    Źródło:
    Control and Cybernetics; 2016, 45, 4; 525-537
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Immunization and convex interest rate shifts
    Autorzy:
    Barber, J. R.
    Powiązania:
    https://bibliotekanauki.pl/articles/206488.pdf
    Data publikacji:
    2013
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    immunization
    yield curve
    linear factor model
    convexity
    Opis:
    An important issue in immunization theory is the form of the interest rate process under which immunization is feasible. This paper generalizes Fisher and Weil immunization result to convex interest rate shifts, and examines the practical significance of this generalization. We examine the features of a linear factor model that are consistent with a convex shift. In particular, we show that a specific two factor linear model is sufficient and necessary for a convex shift. This two factor specification allows parallel and damped yield curve shifts, which in combination can twist the yield curie.
    Źródło:
    Control and Cybernetics; 2013, 42, 1; 259-266
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Construction of a k-immunization strategy with the highest convexity
    Autorzy:
    Zaremba, L.
    Powiązania:
    https://bibliotekanauki.pl/articles/206561.pdf
    Data publikacji:
    1998
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    immunizacja
    wypukłość
    convexity
    immunization
    K-T conditions
    unanticipated return
    Opis:
    Assuming that interest rate shocks are proportional to their values plus one, we prove in Theorem 1 the existence of and construct a portfolio Z[sup *] with the highest convexity in the class of portfolios that solve the immunization problem to meet the liability to pay C dollars K years from now. Z[sup *] appears to be a barbell strategy with two zero-coupon bonds with the shorest and the longest maturities. This intuitively clear result has been obtained here in a rigorous way by means of the K-T conditions. In addition, we show that our result is stricly related to the problem of maximization of the unanticipated rate of return on a portfolio solving the above immunization problem (Theorem 2). Two more results concerning the unanticipated return after K years are provided with proofs. An example illustrating the role of convexity in maximization of the unanticipated return is included. Despite the fact that there exists a pretty vast literature on bond portfolio strategies, the present paper offers a new methodological approach to this area (see Ingersoll, Skelton, Weil, 1978).
    Źródło:
    Control and Cybernetics; 1998, 27, 1; 135-144
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Shifts of the term structure of interest rates against which a given portfolio is preimmunized
    Autorzy:
    Rzadkowski, G.
    Zaremba, L. S.
    Powiązania:
    https://bibliotekanauki.pl/articles/969902.pdf
    Data publikacji:
    2010
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    immunization
    term structure of interest rates
    polynomial shifts
    Hilbert space approach
    Opis:
    In this paper we formulate an immunization problem, which is rarely stated. Instead of reconstructing an existing bond portfolio B with the aim of securing a desired amount of, say L dollars, q years from now, against uncertain future interest rates shifts (under various, sometimes strong assumptions), we identify the shifts of the current term structure of interest rates against which portfolio B is already preimmunized. We state this problem in two different mathematical settings, and solve it with the help of Proposition 2 from Barber (1999), or, equivalently, Theorem 1 from Rzadkowski and Zaremba (2000). In the first part of this paper shifts are supposed to be polynomials of degree less than a certain number n, while in the second part, where we employ a Hilbert space approach, the shifts are allowed to be continuous functions.
    Źródło:
    Control and Cybernetics; 2010, 39, 3; 857-865
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Assets/liabilities portfolio immunization as an optimization problem
    Autorzy:
    Kondratiuk-Janyska, A.
    Kałuszka, M.
    Powiązania:
    https://bibliotekanauki.pl/articles/969959.pdf
    Data publikacji:
    2006
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    immunizacja
    zagadnienie optymalizacji
    immunization
    optimization problem
    single risk measures
    multiple risk measure
    Opis:
    The aim of this paper is to present bond portfolio immunization strategies in the case of multiple liabilities, based on single-risk or multiple-risk measure models under the assumption of multiple shocks in the term structure of interest rates referring, in particular, to Fong and Vasicek (1984), Nawalkha and Chambers (1996), Balbas and Ibanez (1998) and Hurlimann (2002). Immunization problem is formulated as a constrained optimization problem under a fixed open loop strategy. New risk measures associated with changes of the term structure are also defined.
    Źródło:
    Control and Cybernetics; 2006, 35, 2; 335-349
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-5 z 5

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