Abstract
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.
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This paper has been partially supported by the italian M.U.R.S.T..
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Uberti, M. (2000). Immunization of Portfolios with Liabilities*. In: Bonilla, M., Casasús, T., Sala, R. (eds) Financial Modelling. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57652-2_26
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DOI: https://doi.org/10.1007/978-3-642-57652-2_26
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1282-4
Online ISBN: 978-3-642-57652-2
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