Bond Potrfolio Immunization in Arbitrage Free Models
作者： Alina Kondratiuk-Janyska , Marek Kaluszka
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摘要: The aim of this paper is to examine arbitrage free models and investigate which them imply well known widely applied classical duration strategy. Problem a noncallable default-free bond portfolio immunization studied in 3-period model time with fixed investment strategy either under optimization criterions such as maxmin, Bayesian, Gamma-maxmin, Markowitz-type others. In some there are anomalies since, it proved that, any optimal. A notable fact that the Markowitz approach from and, moreover, cases occurs be
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