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