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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 |
Citation
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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