Utility Function Approach in the Context of Immunization

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

Chapter 5 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 79-91 from University of Lodz

Abstract: In the Chapter 5 A. Kondratiuk-Janyska and M. Kałuszka propose an immunization model for a bond portfolio generating random payments. They also give a lower bound on expected value of bond portfolio utility function.

Keywords: Utility function; Immunization; Bond portfolio (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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