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Resource type: article, chapter

Immunization in case of proportional shifts in spot rates and mispriced bonds (RB-1995-99-03)

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Title Immunization in case of proportional shifts in spot rates and mispriced bonds (RB-1995-99-03)
Persons Authors: Leszek Saturnin Zaremba
Partner: Systems Research Institute Polish Academy of Sciences, Warsaw
Description In this paper we deal with bonds and treasurg bills, that is, financial instruments generating a cash flow in the coupon form with maturities of either less than 1 year (treasury bills) or at least 1 year (bonds). From now on, we shall not differentiate between treasury bills and bonds, calling them simply bonds.The basic immunization problem consists in finding the cheapest bond porfolio that ensures meeting the liability to pay C dollars K years from now irrespective of unknown shifts h_t in spot rates (y_t -> y_t+ h_t); here K is any number between the shortest (t_0) and the longest (t_n) bond maturity. (English)
Keywords "instrumenty finansowe"@pl, "optymalizacja portfela"@pl, "immunizacja"@pl, "bonds"@en, "portfolio optimization"@en, "financial instruments"@en, "Immunization"@en, "obligacje"@pl
Classification Resource type: article, chapter
Scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018)
Destination group: pupils, students, scientists
Harmful content: No
Characteristics Title of source document: RB-1995-99-03
Place of publication: Warszawa
Publisher: IBSPAN
Time of publication: 1995
From page: 1
To page: 10
Resource language: English
License CC BY-SA 4.0
Technical information Submitter: Anna Wasilewska
Availability date: 26-07-2022
Collections Kolekcja Instytutu Badań Systemowych PAN w Warszawie

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Leszek Saturnin Zaremba. Immunization in case of proportional shifts in spot rates and mispriced bonds (RB-1995-99-03). [article, chapter] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.

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