Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates

摘要: In an important article in 1971, Fisher and Weil [4] demonstrated that it is possible to immunize a portfolio of default-free coupon bonds against unexpected interest rate changes so at the end planning period investor will realize least return expected purchase. Immunization may be achieved by constructing whose average duration equal length investor's period. The computation produces immunization dependent on nature assumed stochastic shocks. derive produce for additive shifts yield curve under instantaneous compounding, e.g., g(t) + λ where time t random shift parameter.