On the Fong-Vašíček type inequalities for the assets/ liabilities portfolio immunization problem

Michał Boczek and Marek Kałuszka
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Michał Boczek: Politechnika Łódzka, Instytut Matematyki
Marek Kałuszka: Politechnika Łódzka, Instytut Matematyki

Collegium of Economic Analysis Annals, 2018, issue 51, 209-228

Abstract: In this paper, we discuss selected aspects of the problem of assets/liabilities portfolio immunization against changes in the interest rate structure. This issue is important for a number of financial institutions: banks, insurance companies, investment funds or pension funds. We give some new estimates for the value of the portfolio at a fixed time in the future and discuss their relationship with the existing results.

Keywords: immunization; interest rates; investment portfolio (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:annals:i:51:y:2018:p:209-228

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