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Lower Bounds on Portfolio Performance: An Extension of the Immunization Strategy.

Lower Bounds on Portfolio Performance: An Extension of the Immunization Strategy.

Authors :
Marshall, William J.
Yawitz, Jess B.
Source :
Journal of Financial & Quantitative Analysis; Mar1982, Vol. 17 Issue 1, p101-113, 13p
Publication Year :
1982

Abstract

The article reports on immunization of portfolios. Immunization allows the guarantee of a minimum return performance over a specified investment horizon despite unknown interest rate movements. Bond portfolios are immunized through the existence of an absolute lower bound on the portfolio's value at the end of the intended holding period and if the lower bound equals the value that would occur if the actual rates of the holding period equal the expected rates at the time of purchase. Interest in immunization is due to the desire of bond managers to reduce the risk accompanying interest rate movements.

Details

Language :
English
ISSN :
00221090
Volume :
17
Issue :
1
Database :
Complementary Index
Journal :
Journal of Financial & Quantitative Analysis
Publication Type :
Academic Journal
Accession number :
5722105
Full Text :
https://doi.org/10.2307/2330931