- Autor
- Kondratiuk-Janyska Alina (University of Lodz, Poland), Kaluszka Marek (University of Lodz, Poland)
- Tytuł
- Bond Potrfolio Immunization in Arbitrage Free Models
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 1, s. 89-100, rys., tab., bibliogr. s. 100
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Teoria immunizacji portfelowej, Rynek obligacji, Teoria portfelowa Markowitza
Theory of portfolio immunization, Bond market, Markowitz portfolio theory - Abstrakt
- The aim of this paper is to present immunization problem of a noncallable and default-free bond portfolio in a 3-period model of time referring to the Fong and Vasicek (1984), the Nawalkha and Chambers (1996), the Balbas and Ibanez (1998) studies among others. A fixed investment strategy is examined with respect to known optimization criteria: maxmin, Bayesian, Gamma-maxmin or completely new: Markowitz-type and others. It is expected to indicate which of them imply well known and widely applied duration strategy. However, in some models we found anomalies since, it is proved that, any strategy is optimal. The most crucial fact is that the Markowitz approach is free from such anomalies and, moreover, in some cases gives a duration strategy. (fragment of text)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
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- Macaulay F. (1938), Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856, New York: National Bureau of Economic Research.
- Markowitz H. (1952), "Portfolio Selection", Journal of Finance, 7(1), 77-91.
- Nawalkha S. K., Chambers D. R. (1996), "An Improved Immunization Strategy; M-Absolute", Financial Analysts Journal, 52, 69-76.
- Nawalkha S. K., Chambers d. R. (eds.) (1999), Interest Rate Risk Measurement and Management, New York: Institutional Investor Inc.
- Prisman E. Z. (1986), "Immunization as a Maxmin Strategy", Journal of Banking and Finance, 10, 491-509.
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- Cytowane przez
- Język
- eng
