Immunization Strategies for Funding Multiple Liabilities

摘要: A number of recent papers have shown that it is possible for an investor to immunize a portfolio default and option-free coupon bonds so the return realized over given planning period will never be less than promised at time were purchased. In this way, future fixed dollar liability may discharged with certainty by acquiring asset market value equal present setting its appropriate duration remaining date discharge.1 However, most investors more one discharge. his seminal article in 1952, F. M. Redington showed stream liabilities immunized if having same as selected that: 1. liabilities;