Maxmin portfolios in models where immunization is not feasible

Alejandro Balbás de la Corte; Alfredo Ibáñez Rodríguez

doi:10.1007/978-1-4757-3613-7_8

Maxmin portfolios in models where immunization is not feasible

Alejandro Balbás de la Corte, Alfredo Ibáñez Rodríguez

Research output: Conference paper › Contribution

Abstract

This work illustrates the difference between the concepts of immunized and maxmin portfolios and extends the existent literature on bond portfolio immunization by analyzing and computing maxmin portfolios in models where complete immunization is not feasible. These models are important because they permit many different shifts on interest rates and do not lead to the existence of arbitrage. Maxmin portfolios are characterized by saddle point conditions and can be computed by applying a new algorithm. The model is specialized on the very general sets of shocks from which the dispersion measures M 2 and Ñ are developed. By computing maxmin portfolios in some practical examples, it is shown that they perform close to an immunized portfolio and are close to matching duration portfolios. Consequently, maxmin portfolios provide hedging strategies in a very general setting and can answer some puzzles of this literature.

Original language	English
DOIs	https://doi.org/10.1007/978-1-4757-3613-7_8
Publication status	Published - 1 Dec 1995
Externally published	Yes
Event	XX Simposio de Análisis Económico, Barcelona 1995 - Duration: 1 Dec 1995 → 1 Dec 1995

Conference

Conference	XX Simposio de Análisis Económico, Barcelona 1995
Period	1/12/95 → 1/12/95

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10.1007/978-1-4757-3613-7_8

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@conference{96a34d5dfe1042eabdbfc4c433429d57,

title = "Maxmin portfolios in models where immunization is not feasible",

abstract = "This work illustrates the difference between the concepts of immunized and maxmin portfolios and extends the existent literature on bond portfolio immunization by analyzing and computing maxmin portfolios in models where complete immunization is not feasible. These models are important because they permit many different shifts on interest rates and do not lead to the existence of arbitrage. Maxmin portfolios are characterized by saddle point conditions and can be computed by applying a new algorithm. The model is specialized on the very general sets of shocks from which the dispersion measures M 2 and {\~N} are developed. By computing maxmin portfolios in some practical examples, it is shown that they perform close to an immunized portfolio and are close to matching duration portfolios. Consequently, maxmin portfolios provide hedging strategies in a very general setting and can answer some puzzles of this literature.",

author = "{Balb{\'a}s de la Corte}, Alejandro and {Ib{\'a}{\~n}ez Rodr{\'i}guez}, Alfredo",

year = "1995",

month = dec,

day = "1",

doi = "10.1007/978-1-4757-3613-7_8",

language = "English",

note = "XX Simposio de An{\'a}lisis Econ{\'o}mico, Barcelona 1995 ; Conference date: 01-12-1995 Through 01-12-1995",

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TY - CONF

T1 - Maxmin portfolios in models where immunization is not feasible

AU - Balbás de la Corte, Alejandro

AU - Ibáñez Rodríguez, Alfredo

PY - 1995/12/1

Y1 - 1995/12/1

N2 - This work illustrates the difference between the concepts of immunized and maxmin portfolios and extends the existent literature on bond portfolio immunization by analyzing and computing maxmin portfolios in models where complete immunization is not feasible. These models are important because they permit many different shifts on interest rates and do not lead to the existence of arbitrage. Maxmin portfolios are characterized by saddle point conditions and can be computed by applying a new algorithm. The model is specialized on the very general sets of shocks from which the dispersion measures M 2 and Ñ are developed. By computing maxmin portfolios in some practical examples, it is shown that they perform close to an immunized portfolio and are close to matching duration portfolios. Consequently, maxmin portfolios provide hedging strategies in a very general setting and can answer some puzzles of this literature.

AB - This work illustrates the difference between the concepts of immunized and maxmin portfolios and extends the existent literature on bond portfolio immunization by analyzing and computing maxmin portfolios in models where complete immunization is not feasible. These models are important because they permit many different shifts on interest rates and do not lead to the existence of arbitrage. Maxmin portfolios are characterized by saddle point conditions and can be computed by applying a new algorithm. The model is specialized on the very general sets of shocks from which the dispersion measures M 2 and Ñ are developed. By computing maxmin portfolios in some practical examples, it is shown that they perform close to an immunized portfolio and are close to matching duration portfolios. Consequently, maxmin portfolios provide hedging strategies in a very general setting and can answer some puzzles of this literature.

U2 - 10.1007/978-1-4757-3613-7_8

DO - 10.1007/978-1-4757-3613-7_8

M3 - Contribution

T2 - XX Simposio de Análisis Económico, Barcelona 1995

Y2 - 1 December 1995 through 1 December 1995

ER -

Maxmin portfolios in models where immunization is not feasible

Abstract

Conference

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