Bond Potrfolio Immunization in Arbitrage Free Models

Alina Kondratiuk-Janyska () and Marek Kaluszka ()
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Alina Kondratiuk-Janyska: Technical University of Lodz, Poland
Marek Kaluszka: Technical University of Lodz, Poland

Chapter 6 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 1, pp 89-100 from University of Lodz

Abstract: Chapter 6 examines arbitrage-free models and investigates which of them imply classical duration strategy. The problems of a noncallable and default-free bond portfolio immunization are studied. The analysis is given in a multi-period framework under different optimization criteria. It has been found that the Markowitz portfolio is consistent with a duration strategy.

Keywords: Theory of portfolio immunization; Bond market; Markowitz portfolio theory (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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