Publication: When can you immunize a bond portfolio?
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1994-11
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Abstract
The 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.
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Immunized portfolio, Maxmin portfolio, Weak immunization condition, The set of worst shocks