Maxmin portfolios in financial immunization

Balbás, Alejandro; Ibáñez, Alfredo

Publication:
Maxmin portfolios in financial immunization

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Balbás, Alejandro
dc.contributor.author	Ibáñez, Alfredo
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía de la Empresa	es
dc.date.accessioned	2010-03-01T10:47:39Z
dc.date.available	2010-03-01T10:47:39Z
dc.date.issued	1995-07
dc.description.abstract	The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, this existence holds if an immunized portfolio does not exist but atl the considered portfolios have duration equal to the investor planning periodo To characterize the maxmin portfolio, saddle point conditions are found, and from them, an algorithm is given. This algorithm permits to find the maxmin portfolio in practical situations. Relations between maxmin portfolios and the ones minimizing the dispersion measures (for instance, the M-squared or the Ñ measure) are also studied. In particular, it will be proved that minimizing the dispersion measure and looking for maxmin portfolio are equivalent strategies only when we are working with pure discount bonds. Finally, as a consecuence of the obtained results, two new strategies to invest are proposed.	en
dc.format.mimetype	application/pdf
dc.identifier.uri	http://hdl.handle.net/10016/7081
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working papers. Business Economics	en
dc.relation.ispartofseries	95-28-04
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Empresa	es
dc.subject.other	Maxmin portfolio	en
dc.subject.other	Immunized portfolio	en
dc.subject.other	Saddle point condition	en
dc.subject.other	Dispersion measure	en
dc.title	Maxmin portfolios in financial immunization
dc.type	working paper	*
dspace.entity.type	Publication