- 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