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
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
Journal title :
Insurance Mathematics and Economics