Bonds Portfolio Management: Analysis and Application of the Model of Multiperiod Immunization
This article discusses the theoretical analysis and practical application of the model of semideterministic multiperiod immunization, used in the management of assets and liabilities. The emphasis is on the main theorems, underlying the theory of the immunization, the formulation of the resultant optimization problem and its linearization, the technological sequencing of its usage and the necessary preliminary processing of the data before the latter is input into the linear optimization function. The application of the model is illustrated with an example and the results achieved are commented upon in view of their applicability.
Year of publication: |
2004
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Authors: | Popchev, Ivan ; Radeva, Irina |
Published in: |
Economic Thought journal. - Economic Research Institute, ISSN 0013-2993. - 2004, 4, p. 28-43
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Publisher: |
Economic Research Institute |
Saved in:
Online Resource
Type of publication: | Article |
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Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G11 - Portfolio Choice ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
Persistent link: https://www.econbiz.de/10005000093
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