On risk minimizing strategies for default-free bond portfolio immunization

Marek Kałuszka; Alina Kondratiuk-Janyska

Applicationes Mathematicae (2004)

  • Volume: 31, Issue: 3, page 259-272
  • ISSN: 1233-7234

Abstract

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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.

How to cite

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Marek Kałuszka, and Alina Kondratiuk-Janyska. "On risk minimizing strategies for default-free bond portfolio immunization." Applicationes Mathematicae 31.3 (2004): 259-272. <http://eudml.org/doc/279229>.

@article{MarekKałuszka2004,
abstract = {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.},
author = {Marek Kałuszka, Alina Kondratiuk-Janyska},
journal = {Applicationes Mathematicae},
keywords = {immunization; duration; bond portfolio; M-absolute},
language = {eng},
number = {3},
pages = {259-272},
title = {On risk minimizing strategies for default-free bond portfolio immunization},
url = {http://eudml.org/doc/279229},
volume = {31},
year = {2004},
}

TY - JOUR
AU - Marek Kałuszka
AU - Alina Kondratiuk-Janyska
TI - On risk minimizing strategies for default-free bond portfolio immunization
JO - Applicationes Mathematicae
PY - 2004
VL - 31
IS - 3
SP - 259
EP - 272
AB - 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.
LA - eng
KW - immunization; duration; bond portfolio; M-absolute
UR - http://eudml.org/doc/279229
ER -

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