Title of article
A minimax risk strategy for portfolio immunization
Author/Authors
Barber، نويسنده , , Joel R. and Copper، نويسنده , , Mark L.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
5
From page
173
To page
177
Abstract
This paper develops a minimax immunization strategy for an infinite factor interest rate model. The risk of a portfolio of cash flows is measured as the maximum sensitivity of the portfolio value. The objective is to choose the portfolio whose maximum sensitivity over a set of possible interest rate shocks is minimum.
Keywords
Immunization , minimax , Term structure of interests rates , duration
Journal title
Insurance Mathematics and Economics
Serial Year
1998
Journal title
Insurance Mathematics and Economics
Record number
1542074
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