On Duration-Dispersion Strategies for Portfolio Immunization

Marek Kałuszka () and Alina Kondratiuk-Janyska ()
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Marek Kałuszka: Technical University of Łódź, Poland
Alina Kondratiuk-Janyska: Technical University of Łódź, Poland

Chapter 12 in Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 191-202 from University of Lodz

Abstract: This paper deals with new immunization strategies for a noncallable and default-free bond portfolio. This approach refers to the Fong and Vasicek (1984), the Nawalkha and Chambers (1996), the Balbàs and Ibáňez (1998), and the Balbàs, Ibáňez and Lopez (2002) studies among others and relies on minimizing a single-risk measure which is a linear combination of the duration gap and the dispersion of portfolio payments.

Keywords: Bond portfolio; Immunization; Duration (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2004:n:177:ch:12:foe

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