http://id.e-science.pl/records/82792
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publisher: IBSPAN
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  name: RB-1995-37-02.med.007.tiff
description: We prove the existence and construct a portfolio Z* with the highest convexity in the class of portfolios that solve the immunization problem to meet the lability of C dollars to pay K years from now. Z* appears to be a barbell strategy built up with two zero-coupon bonds with the shortest and longest maturities. The result is interesting not only on its own, but is strictly related to the problem of maximization of the unanticipated rate of return on a portfolio solving the above immunization problem. 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. @en
destination group: naukowcy
title: Construction of a K-immunization strategy with the highest convexity (RB-1995-37-02) @en
page to: 12
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  name: RB-1995-37-02.med.010.tiff
destination group: uczniowie
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  name: RB-1995-37-02.pdf
  uri: https://data.e-science.pl/82792/RB-1995-37-02.pdf
keyword info: KeywordInfo
  name: immunizacja
  uri: http://id.e-science.pl/vocab/kv/c33595
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  uri: https://data.e-science.pl/82792/RB-1995-37-02.docx
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scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018)
license info: LicenseInfo
  uri: https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl
  name: CC BY-SA 4.0
file info: FileInfo
  name: RB-1995-37-02.med.013.tiff
keyword info: KeywordInfo
  uri: http://id.e-science.pl/vocab/kv/51688
  name: strategia k-immunizacji
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  name: RB-1995-37-02.med.006.tiff
file info: FileInfo
  name: RB-1995-37-02.med.003.tiff
submitter: Person
  name: Anna Wasilewska
language: Angielski
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  name: RB-1995-37-02.med.011.tiff
source: Source
  title: RB-1995-37-02 @en
acceptance date: 2023-01-13
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destination group: studenci
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  name: RB-1995-37-02.med.008.tiff
publication year: 1995
keyword info: KeywordInfo
  name: highest convexity @en
  uri: http://id.e-science.pl/vocab/kv/51689
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  name: RB-1995-37-02.med.012.tiff
type: Article
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keyword info: KeywordInfo
  uri: http://id.e-science.pl/vocab/kv/51688
  name: k-immunization strategy @en
partner: Organization
  name: Instytut Badań Systemowych PAN w Warszawie
keyword info: KeywordInfo
  uri: http://id.e-science.pl/vocab/kv/51689
  name: największa wypukłość
keyword info: KeywordInfo
  uri: http://aims.fao.org/aos/agrovoc/c_3803
  name: Immunization @en