PARTIAL IMMUNIZATION BOUNDS AND NON-PARALLEL TERM STRUCTURE SHIFTS

摘要: A variety of approaches have been proposed to extend classical fixed income portfolio immunization theory cases where shifts in the term structure are not parallel. Following Reitano (1991a, 1991b, 1992, 1996) and Poitras (2007), this paper uses partial durations convexities specify benchmark bounds for non-parallel shifts. Theoretical results obtained by exploiting properties multivariate Taylor series expansion spot interest rate pricing function. It is demonstrated that can be effectively manipulated adequate selection securities being used immunize portfolio. The inclusion time values permits related previous studies Christensen Sorensen (1994), Chance Jordan (1996), Barber Copper (1997) (2005, Ch. 5) on value-convexity tradeoff.