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

Author

Listed:
  • Michał Boczek

    (Politechnika Łódzka, Instytut Matematyki)

  • Marek Kałuszka

    (Politechnika Łódzka, Instytut Matematyki)

Abstract

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.

Suggested Citation

  • Michał Boczek & Marek Kałuszka, 2018. "On the Fong-Vašíček type inequalities for the assets/ liabilities portfolio immunization problem," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 209-228.
    • Handle: RePEc:sgh:annals:i:51:y:2018:p:209-228
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    References listed on IDEAS

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    1. Gajek, Leslaw, 2005. "Axiom of solvency and portfolio immunization under random interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 317-328, June.
    2. Fong, H Gifford & Vasicek, Oldrich A, 1984. "A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-1546, December.
    3. Montrucchio, Luigi & Peccati, Lorenzo, 1991. "A note on Shiu--Fisher--Weil immunization theorem," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 125-131, July.
    4. Nawalkha, Sanjay K. & Soto, Gloria M. & Zhang, Jun, 2003. "Generalized M-vector models for hedging interest rate risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1581-1604, August.
    5. Leszek Zaremba & Włodzimierz Smoleński, 2000. "Optimal portfolio choice under a liability constraint," Annals of Operations Research, Springer, vol. 97(1), pages 131-141, December.
    6. Gajek, Lesław & Krajewska, Elżbieta, 2013. "A new immunization inequality for random streams of assets, liabilities and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 624-631.
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