Immunization of Portfolios with Liabilities*

  • Mariacristina Uberti
Conference paper
Part of the Contributions to Management Science book series (MANAGEMENT SC.)


In the framework of semi-deterministic classical immunization theory, the immunization problem of a portfolio with multiple liabilities is considered with respect to a wide class of interest rate shift time functions that encompasses convex shifts. The Fong-Vasiček classical bound on the change in the value of a portfolio is extended to this general case. Moreover sufficient and necessary conditions for portfolio immunization are supplied.


Interest Rate Term Structure Shift Factor Asset Portfolio Additive Shift 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2000

Authors and Affiliations

  • Mariacristina Uberti
    • 1
  1. 1.Department of Statistics and Applied MathematicsUniversity of TurinTorinoItaly

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