Immunization of Bond Portfolios : Some New Results

Individual and collective security are among the gauges of civilization, and at the same time they constitute necessary conditions for its progress. Their systematic pursuit is relatively recent among nations: prompted by the dreadful lessons of the 20th century, they took their present shape after World War II. Only at that time serious consideration started being given to social and economic security, which resulted into insurance and pension plans being widespread. Large savings, concomitant to decades of economic progress, were invested into default-free vehicles, by those institutions which were looking for steady, fixed, income flows. In the world of fixed exchange rates which followed the Bretton-Woods agreements, it was only natural that interest rates remained relatively stable