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Analiza wartości prawa użytkowania wieczystego gruntu. How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios (RB-1998-61-01)
Resource metadata
| Title |
Analiza wartości prawa użytkowania wieczystego gruntu. How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios (RB-1998-61-01) |
| Persons |
Authors:
Leszek Saturnin Zaremba, Włodzimierz Henryk Smoleński
Partner: Systems Research Institute Polish Academy of Sciences, Warsaw |
| Description |
This paper extends the main result, that is, the construction of an immunization strategy with the highest convexity to a more general setting by dropping the key assumption stating that interest rate shocks h_t to occur in a near future are proportional to the values of spot rates y_t plus 1, that is, the condition (2) holds. Here, the interest rate shifts h_t axe allowed to be of the more general type (1) with known (to an investor) coefficients g_t's (usually estimated empirically based on historical data). The optimal portfolio Z* is found here in a rigorous way by means of the Kuhn-Tucker conditions. Due to a higher complexity of the problem, the presented reasoning does not follow the lines of that of [2], what results in a different, not intuitively clear (as opposed to [2]) solution. It is demonstrated how to find in a computationally very simple way a bond portfolio Z* with the highest convexity in a class, say Z, of fixed duration portfolios. When the convexity of Z* is larger than the convexity of a certain zero coupon bond B_K, then Z* has the highest convexity in the class K of so-called K-immunization strategies. In this way, we simultaneously solve the problem of maximization of the unanticipated rate of return on a bond portfolio due to shocks in spot rates in the class Z and also K if, in addition, the convexity of Z* exceeds that of B_K. (English) |
| Keywords | "convexity"@en, "Immunization"@en, "wypukłość"@pl, "unanticipated rate of return"@en, "immunizacja"@pl, "nieoczekiwana stopa zwrotu"@pl |
| Classification |
Resource type:
article, chapter Scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018) Destination group: pupils, students, scientists Harmful content: No |
| Characteristics |
Title of source document: RB-1998-61-01
Place of publication: Warszawa Publisher: IBSPAN Time of publication: 1998 From page: 1 To page: 7 Resource language: English |
| License | CC BY-SA 4.0 |
| Technical information |
Submitter: Anna Wasilewska Availability date: 26-07-2022 |
| Collections | Kolekcja Instytutu Badań Systemowych PAN w Warszawie |
Citation
Leszek Saturnin Zaremba, Włodzimierz Henryk Smoleński. Analiza wartości prawa użytkowania wieczystego gruntu. How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios (RB-1998-61-01). [article, chapter] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.
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