This paper analyzes immunization strategies in the mean-variance framework. We characterize the efficient portfolio allocations and identify the minimum variance immunization strategy. We show that the efficient allocations can be superior or inferior to the minimum variance allocation as time...

Empirical studies report inconclusive assessment of duration-based immunization, notably showing that more sophisticated strategies do not outperform immunization relying on Macaulay duration. This paper provides a mean-variance framework to explore this puzzle. We characterize the efficient...