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Articles 1 - 3 of 3
Full-Text Articles in Business
Dynamic Immunization And Transaction Costs With Different Term Structure Models, Eliseo Navarro, Juan M. Nave
Dynamic Immunization And Transaction Costs With Different Term Structure Models, Eliseo Navarro, Juan M. Nave
Journal of Actuarial Practice (1993-2006)
A bond portfolio selection model is developed in a dynamic framework using different term structures, but without transactions costs. We show that the optimal portfolios are consistent with Khang's dynamic immunization theorem, i.e., the optimal path consists of making portfolio duration equal to the investor's horizon planning period. The model is then extended to include transaction costs. The resulting optimal portfolios are no longer consistent with Khang's dynamic immunization theorem. In fact, the strategy for constructing the optimal portfolio consists of initially choosing a portfolio with a duration that is smaller than the horizon planning period.
Protecting The Environment: Finding The Balance Between Delaney And Free Play, Geoffrey C. Hazard Jr., Howard C. Kunreuther
Protecting The Environment: Finding The Balance Between Delaney And Free Play, Geoffrey C. Hazard Jr., Howard C. Kunreuther
All Faculty Scholarship
No abstract provided.
Conflicts And Defense Lawyers: From Triangles To Tetrahedrons, Tom Baker
Conflicts And Defense Lawyers: From Triangles To Tetrahedrons, Tom Baker
All Faculty Scholarship
No abstract provided.