A Dynamic Global Portfolio Immunization Strategy in the World of Multiple Interest Rate Changes: A Dynamic Immunization and Minimax Theorem

摘要: man [5], and Khang [9] demonstrate that it is possible to immunize a portfolio of default-free assets against unexpected interest rate changes so at the end planning period investor will realize least returns expected pur? chase. However, this immunization strategy applicable for case in which change occurs only once instant after purchase asset. Obviously, depicted above not likely resemble real world situation two respects. First, occur any time and, second, many times during investor's period. Bierwag [4] deals with may period, each occurring beginning shows that, provided are small, can, by constructing whose duration begin? ning equal length remaining Thus, Bierwag's theorem local theorem. makes conjecture hold true globally. This paper keeping duration, calcu? lated on basis term structure observed moment time, entire guarantees (or promised) purchase, regardless when how sizes structure. proven global very general setting as opposed A corollary unconditional im? munization policy does unless all * University Oregon. The author expresses thanks an anonymous referee careful reading resulted improvement.