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Assets/liabilities portfolio immunization as an optimization problem. (English) Zbl 1189.91218
Summary: The aim of this paper is to present bond portfolio immunization strategies in the case of multiple liabilities, based on single-risk or multiple-risk measure models under the assumption of multiple shocks in the term structure of interest rates referring, in particular, to H. G. Fong and O. A. Vasicek [“A risk minimizing strategy for portfolio immunization”, J. Finance 39, 1541–1546 (1984)], S. K. Nawalkha and D. R. Chambers [“An improved immunization strategy: \(M\)-absolute”, Financ. Analysts J. 52, 69–76 (1996)], A. Balbás and A. Ibáñez [“When can you immunize a bond portfolio?”, J. Banking Finance 22, 1571–1594 (1998)] and W. Hürlimann [Insur. Math. Econ. 31, No. 3, 315–325 (2002; Zbl 1074.91016)]. Immunization problem is formulated as a constrained optimization problem under a fixed open loop strategy. New risk measures associated with changes of the term structure are also defined.
91G50 Corporate finance (dividends, real options, etc.)
91B30 Risk theory, insurance (MSC2010)
93E20 Optimal stochastic control
Zbl 1074.91016
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