Article ID: | iaor2009425 |
Country: | Poland |
Volume: | 35 |
Issue: | 2 |
Start Page Number: | 335 |
End Page Number: | 349 |
Publication Date: | Jan 2006 |
Journal: | Control and Cybernetics |
Authors: | Kondratiuk-Janyska Alina, Kauszka Marek |
Keywords: | programming: constraints, financial |
The aim of the paper is to present bond portfolio immunization strategies in the case of multiple liabilities, based on single-risk or multiple-risk measure models under the assumption of multiple shocks in the term structure of interest rates, referring, in particular, to the work by Fong and Vasicek, Nawalkha and Chambers, Balbás and Ibánez, as well as Hürlimann. Immunization problem is formulated as a constrained optimization problem under a fixed open loop strategy. New risk measures associated with changes of the term structure are also defined.