IMMUNIZATION STRATEGY IN A FUZZY ENVIRONMENT

A. Terceño Gómez, J. M. Brotons Martínez and Aurelio Fernandez Bariviera
Additional contact information
A. Terceño Gómez: Rovira i Virgili University
J. M. Brotons Martínez: Miguel Hernández University

Fuzzy Economic Review, 2007, vol. XII, issue 2, 95-116

Abstract: Within the framework of ALM, we understand that immunization is the main method to assure a certain yield in a future date departing from an initial portfolio. As in the crisp case, in a fuzzy environment, one of the goals is the determination of the duration of a bond and of a bond portfolio, when the interest rate is a fuzzy number. After that, we will be able to design an immunization strategy. One of the problems of the immunization strategies derives from the fact that the immunization process allows the variation of the TSIR in a parallel way to the initial, this assumes the hypothesis that the TSIR follows an additive process to the spot rate. Therefore, if this hypothesis is not guaranteed, it cannot be guaranteed the profitability expected at the beginning of the investment. This is called the risk of identification of the stochastic process.

Keywords: Immunization; portfolio; fuzzy hypothesis; duration (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fzy:fuzeco:v:xii:y:2007:i:2:p:95-116

Access Statistics for this article

More articles in Fuzzy Economic Review from International Association for Fuzzy-set Management and Economy (SIGEF) Contact information at EDIRC.
Bibliographic data for series maintained by Aurelio Fernandez ( this e-mail address is bad, please contact ).