In this paper, we evaluate the relative immunization performance of the M-vector proposed
by Nawalkha and Chambers (1997)[Nawalkha, SK, Chambers, DR, 1997. The M-vector …

Pensado para satisfacer las necesidades, tanto teóricas como prácticas, que tienen los
alumnos de las licenciaturas de Economía, Administración y Dirección de Empresas, y …

To immunize an insurance company's surplus against interest-rate fluctuations, asset-
liability managers commonly adopt the so-called classical immunization strategy to set the …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a
new model or to compare several existing models using real data. However, there are many …

A model of a term structure of interest rates is conceived in which disturbances are unknown
and bounded. Arbitrage opportunities are ruled out by imposing suitable constraints to the …

An immunization problem is considered in which a bond portfolio is to be periodically
rebalanced. Max–min optimal control is applied to the problem. The target is to maximize the …

Page 1 GABLER EDITION WISSENSCHAFT Karlheinz Gnad Die Duration im
Zinsrisikomanagement Finanzinnovationen und bonitätsrisikobehaftete Fremdkapitaltitel DUN …

To hedge the interest-rate risk against a firm's surplus, insurance companies commonly set
the firm's asset duration equal to the debt ratio times the firm's liability duration. However …

RESUMEN S e presentan modelos de formación de carteras de renta fija en un entorno de
incertidumbre sobre la estructura temporal de tipos de interés. Para ello, se utiliza la …

We deal with the problem of immunization of bond portfolios against interest rate changes.
After studying different models of the Term Structure of Interest Rates (TSIR) in the Spanish …