http://id.e-science.pl/records/82792
type: Article
acceptance date: 2023-01-13
author info: AuthorInfo
  affiliation: http://id.e-science.pl/vocab/unit/6165
  author: http://id.e-science.pl/vocab/person/2056
  position: 1
collection: http://id.e-science.pl/vocab/collection/5
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
destination group: studenci
destination group: uczniowie
file info: FileInfo
  name: RB-1995-37-02.med.008.tiff
file info: FileInfo
  name: RB-1995-37-02.med.014.tiff
file info: FileInfo
  name: RB-1995-37-02.med.006.tiff
file info: FileInfo
  name: RB-1995-37-02.med.005.tiff
file info: FileInfo
  name: RB-1995-37-02.med.010.tiff
file info: FileInfo
  name: RB-1995-37-02.med.013.tiff
file info: FileInfo
  name: RB-1995-37-02.med.007.tiff
file info: FileInfo
  name: RB-1995-37-02.med.001.tiff
file info: FileInfo
  name: RB-1995-37-02.med.004.tiff
file info: FileInfo
  name: RB-1995-37-02.med.003.tiff
file info: FileInfo
  name: RB-1995-37-02.med.009.tiff
file info: FileInfo
  name: RB-1995-37-02.med.012.tiff
file info: FileInfo
  name: RB-1995-37-02.med.002.tiff
file info: FileInfo
  name: RB-1995-37-02.med.011.tiff
file info: FileInfo
  name: RB-1995-37-02.docx
  uri: https://data.e-science.pl/82792/RB-1995-37-02.docx
file info: FileInfo
  name: RB-1995-37-02.pdf
  uri: https://data.e-science.pl/82792/RB-1995-37-02.pdf
harmful content: false
keyword info: KeywordInfo
  name: Immunization @en
  uri: http://aims.fao.org/aos/agrovoc/c_3803
keyword info: KeywordInfo
  name: highest convexity @en
  uri: http://id.e-science.pl/vocab/kv/51689
keyword info: KeywordInfo
  name: k-immunization strategy @en
  uri: http://id.e-science.pl/vocab/kv/51688
keyword info: KeywordInfo
  name: immunizacja
  uri: http://id.e-science.pl/vocab/kv/c33595
keyword info: KeywordInfo
  name: największa wypukłość
  uri: http://id.e-science.pl/vocab/kv/51689
keyword info: KeywordInfo
  name: strategia k-immunizacji
  uri: http://id.e-science.pl/vocab/kv/51688
language: Angielski
license info: LicenseInfo
  name: CC BY-SA 4.0
  uri: https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl
origin: AZON2
page from: 1
page to: 12
partner: Organization
  name: Instytut Badań Systemowych PAN w Warszawie
publication year: 1995
publisher: IBSPAN
scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018)
source: Source
  title: RB-1995-37-02 @en
submitter: Person
  name: Anna Wasilewska
title: Construction of a K-immunization strategy with the highest convexity (RB-1995-37-02) @en