Economics at your fingertips  

The immunisation performance of minimum M-square portfolios

Senay Agca ()

International Journal of Revenue Management, 2007, vol. 1, issue 4, 327-345

Abstract: We examine the immunisation performance of minimum M-square portfolios using a Monte-Carlo simulation in which interest rates evolve according to an exponentially decaying volatility Heath–Jarrow–Morton (1992) model. We consider both duration, and duration and convexity matching immunisation strategies. Our results show that the immunisation performance of minimum M-square portfolios is very sensitive to the holding period. Minimum M-square portfolios have the best performance for short holding periods. However, all minimum M-square portfolios have good immunisation performance irrespective of the risk measure used, especially with duration and convexity matching strategies.

Keywords: immunisation performance; minimum M-square portfolios; Monte-Carlo simulation; revenue management; immunisation strategies; holding periods; interest rate changes; portfolio formation. (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Access Statistics for this article

More articles in International Journal of Revenue Management from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().

Page updated 2023-06-15
Handle: RePEc:ids:ijrevm:v:1:y:2007:i:4:p:327-345