Instytut Badań Systemowych PAN w Warszawie
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.
naukowcy
Construction of a K-immunization strategy with the highest convexity (RB-1995-37-02)
uczniowie
Dziedzina nauk społecznych / ekonomia i finanse (2018)
studenci
immunizacja
strategia k-immunizacji
k-immunization strategy
highest convexity
największa wypukłość
Immunization