Nierówności typu Fonga-Vašíčka dla problemu immunizacji portfela aktywów i zobowiązań

• Autorzy: Michał Boczek , Marek Kałuszka

Warianty tytułu

On the Fong-Vašíček type inequalities for the assets/ liabilities portfolio immunization problem

• Języki publikacji: PL

Abstrakty

W niniejszym artykule omawiamy wybrane aspekty problemu szczepień portfela aktywów / pasywów wobec zmian w strukturze stóp procentowych. Ta kwestia jest ważna dla wielu instytucji finansowych: banków, firm ubezpieczeniowych, inwestycji fundusze lub fundusze emerytalne. Podajemy nowe szacunki dotyczące wartości portfela w ustalonym czasie w przyszłości i omawiamy ich związek z istniejącymi wynikami.(fragment tekstu)

EN

In this paper, we discuss selected aspects of the problem of assets/liabilities portfolio immunization against changes in the interest rate structure. This issue is important for a number of financial institutions: banks, insurance companies, investment funds or pension funds. We give some new estimates for the value of the portfolio at a fixed time in the future and discuss their relationship with the existing results. (original abstract)

Słowa kluczowe

PL

Instytucje finansowe; Stopa procentowa; Portfel inwestycyjny; Teoria immunizacji portfelowej

EN

Financial institutions; Interest rate; Investment portfolio; Theory of portfolio immunization

• Czasopismo: Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa
• Rocznik: 2018
• Numer: nr 51
• Strony: 209--228

Twórcy

autor

Michał Boczek

• Politechnika Łódzka

autor

Marek Kałuszka

• Politechnika Łódzka

Bibliografia

• Balbás A., Ibáñez A., When can you immunize a bond portfolio?, "Journal of Banking and Finance" 1998, vol. 22, s. 1571-1594.
• Balbás A., Ibáñez A., López S., Dispersion measures as immunization risk measures, "Journal of Banking and Finance" 2002, vol. 26, s. 1229-1244.
• Best M. J., Quadratic programming with computers programs, CRR Press, Boca Raton 2017.
• Fong H. G., Vašíček O., A risk minimizing strategy for portfolio immunization, "Journal of Finance" 1984, vol. 39, s. 1541-1546.
• Gajek L., Axiom of solvency and portfolio immunization under random interest rates, "Insurance: Mathematics and Economics" 2005, vol. 36, s. 317-328.
• Gajek L., Krajewska E., A new immunization inequality for random streams of assets, liabilities and interest rates, "Insurance: Mathematics and Economics" 2013, vol. 53, s. 624-631.
• Hürlimann W., On immunization, stop-loss order and the maximum Shiu measure, "Insurance: Mathematics and Economics" 2002, vol. 31, s. 315-325.
• Kałuszka M., Kondratiuk-Janyska A., Bond portfolio immunization in arbitrage free models, "Financial Markets. Principles of Modelling Forecasting and Decision- Making. FindEcon Monograph Series" 2006, vol. 1, s. 89-100.
• Kałuszka M., Kondratiuk-Janyska A., Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model, "Applicationes Mathematicae" 2006, vol. 33, s. 145-157.
• Kałuszka M., Kondratiuk-Janyska A., On a bond portfolio guarantying a minimal return,"Financial Markets. Principles of Modelling Forecasting and Decision-Making. FindEcon Monograph Series" 2008, vol. 6, s. 177-191.
• Kałuszka M., Kondratiuk-Janyska A., On risk minimizing strategies for default-free bond portfolio immunization, "Applicationes Mathematicae" 2004, vol. 31, s. 259-272.
• Kondratiuk-Janyska A., Maksyminowe strategie immunizacji portfela, rozprawa doktorska,FTIMS, Łódź 2006.
• Kondratiuk-Janyska A., Kałuszka M., Assets/liabilities portfolio immunization as an optimization problem, "Control and Cybernetics" 2006, vol. 35, s. 335-349.
• Krajewska E., Geometryczna teoria immunizacji na rynkach niezupełnych, rozprawa doktorska, FTIMS, Łódź 2014.
• Macaulay F., Some theoretical problems suggested by the movement of interest rates, bond yields, and stock prices in the US since 1856, National Bureau of Economic Research, New York 1938.
• Montrucchio L., Peccati L., A note on Shiu-Fisher-Weil immunization theorem, "Insurance: Mathematics and Economics" 1991, vol. 10, s. 125-131.
• Nawalkha S. K., Chambers D. R., An Improved Immunization Strategy: M-Absolute, "Financial Analysts Journal" 1996, vol. 52, s. 69-76.
• Nawalkha S. K., Chambers D. R. (red.), Interest Rate Risk Measurement and Management,McLean KA & CJ, New York 1999.
• Nawalkha S. K., Soto G. M., Beliaeva N. K., Interest Rate Risk Modeling: The Fixed Income Valuation Course, Wiley, New York 2005.
• Nawalkha S. K., Soto G. M., Zhang J., Generalized M-vector models for hedging interest rate risk, "Journal of Banking and Finance" 2003, vol. 27, s. 1581-1604.
• Panjer H. H. (red.), Financial Economics with Applications to Investment, Insurance and Pensions, The Actuarial Foundation, Schaumburg 1998.
• Redington F. M., Review of the Principles of Life-Office Valuations, "Journal of the Institute of Actuaries" 1952, vol. 3, s. 286-315.
• Rządkowski G., Zaremba L. S., New formulas for immunizing durations, "Journal of Derivatives" 2000, vol. 8, s. 28-36.
• Rządkowski G., Zaremba L. S., Shifts of the term structure of interest rates against which a given portfolio is preimmunized, "Control and Cybernetics" 2010, vol. 39, s. 857-865.
• Zaremba L. S., Construction of a k-immunization strategy with the highest convexity, "Control and Cybernetics" 1998, vol. 27, s. 135-144.
• Zaremba L. S., Does Macaulay duration provide the most cost-effective immunization method - A theoretical approach, "Foundations of Management" 2017, vol. 9, s. 99-110.
• Zaremba L. S., Rządkowski G., Determination of continuous shifts in the term structure of interest rates against which a bond portfolio is immunized, "Control and Cybernetics" 2016, vol. 45, s. 525-537.
• Zaremba L. S., Smoleński W., Optimal portfolio choice under a liability constraint, "Annals of Operations Research" 2000, vol. 97, s. 131-141.