- 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