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When can you immunize a bond portfolio?

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorIbáñez, Alfredo
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-03-01T10:47:10Z
dc.date.available2010-03-01T10:47:10Z
dc.date.issued1994-11
dc.description.abstractThe object of this paper is to give conditions under which it is possible to immunize a bond portfolio. Maxmin strategies are also studied, as well as their relations with immunized ones. Some special shocks on the interest rate are analyzed, and general conditions about immunization are obtained. When immunization is not possible, capital losses are measured.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/7078
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries94-42-06
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.otherImmunized portfolio
dc.subject.otherMaxmin portfolio
dc.subject.otherWeak immunization condition
dc.subject.otherThe set of worst shocks
dc.titleWhen can you immunize a bond portfolio?
dc.typeworking paper*
dspace.entity.typePublication
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