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2008 | nr 18 | 165--181
Tytuł artykułu

Are Immunization Strategies Effective? An Empirical Study Based on Quotations from MTS Poland Market

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This paper presents results of an empirical study designed to test effectiveness of immunization strategies for a portfolio of default-free fixed-income bonds, where immunization strategy consists in selecting a portfolio for which the exposure of its terminal value to arbitrary interest rate changes is minimized. Two immunization strategies were tested: M2 minimization strategy - based on the second order duration, and M1 minimization strategy - based on the absolute value duration. Immunization strategies were applied to RP Treasury fixed-coupon bonds traded on the MTS Poland Market. Upon deriving the empirical term structure of interest rates, three types of portfolio have been constructed for 25 different investment horizons: one for each immunization strategy, while portfolios of the third type were composed of two bonds selected quasi-randomly. Next, relative changes in the terminal value. of all portfolios have' been calculated on three dates: one day after, one week after, and four weeks after portfolios were constructed. The two immunization strategies have performed equally well in terms of the relative decrease in the end-of-horizon value of portfolio, and much better than the quasi-random portfolios. Results, therefore, do not support claims of superiority of the M1 strategy over the A/2 strategy, reported by some researchers. (original abstract)
Rocznik
Numer
Strony
165--181
Opis fizyczny
Twórcy
  • Szkoła Główna Handlowa w Warszawie
Bibliografia
  • Bierwag G.O. (1977), Immunization, Duration and the. Term Structure of Interest Rates, Journal of Financial and Quantitative Analysis, December 1977.
  • Fabozzi F. J., G. Fong (2000), Zarządzanie portfelem inwestycji finansowych przynoszących stały dochód. PWN, Warszawa 2000.
  • Fisher L., R. L. Weil (1971), Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies, Journal of Business, October 1971.
  • Fong G., O. A. Vasicek (1984), A Risk Minimizing Strategy for Portfolio Immunization, Journal of Finance, Vol. 39, 1984.
  • Ingersoll J. E. Jr., J. Skelton, R. L. Weil (1978), Duration Forty Years Later. Journal of Financial and Quantitative Analysis, November 1978.
  • Khang C. (1979), Bond Immunization when Short Rates Fluctuate More than Long Rates. Journal of Financial and Quantitative Analysis, Vol. 14 (5), December 1979.
  • Klimkowska J. (2007), Immunization Conditions and Immunization Risk for a Fixed-Income Portfolio. Paper presented at the FindEcon 2007 Conference, Łódź (to appear in print).
  • Navalkha S., D. R. Chambers (1996), An Improved Immunization Strategy - M- Absolute. Financial Analysts Journal, September/October 1996.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171217363

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