This paper presents new strategies for bond portfolio immunization which combine the time-honored duration with the M-Absolute measure defined by Nawalkha and Chambers (1996). The innovation consists in considering an average shock in a fixed time period as a random variable with mean μ or, alternatively, with normal distribution with mean μ and variance σ². Additionally, an extension to arbitrage free models of polynomial shocks is provided. Moreover, the Fisher and Weil model, the M-Absolute strategy and a new one are compared empirically with respect to financial liquidity.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am31-3-2,
author = {Marek Ka\l uszka and Alina Kondratiuk-Janyska},
title = {On risk minimizing strategies for default-free bond portfolio immunization},
journal = {Applicationes Mathematicae},
volume = {31},
year = {2004},
pages = {259-272},
zbl = {1051.62109},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am31-3-2}
}
Marek Kałuszka; Alina Kondratiuk-Janyska. On risk minimizing strategies for default-free bond portfolio immunization. Applicationes Mathematicae, Tome 31 (2004) pp. 259-272. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am31-3-2/