Open Access. Powered by Scholars. Published by Universities.®
Management Sciences and Quantitative Methods Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Discipline
-
- Business Administration, Management, and Operations (26)
- Entrepreneurial and Small Business Operations (4)
- Strategic Management Policy (4)
- Environmental Sciences (3)
- Management Information Systems (3)
-
- Marketing (3)
- Physical Sciences and Mathematics (3)
- Social and Behavioral Sciences (3)
- Sustainability (3)
- Accounting (2)
- Advertising and Promotion Management (2)
- Business Analytics (2)
- Business Intelligence (2)
- Communication (2)
- Engineering (2)
- American Politics (1)
- Arts and Humanities (1)
- Corporate Finance (1)
- Defense and Security Studies (1)
- E-Commerce (1)
- Economics (1)
- Education (1)
- Finance and Financial Management (1)
- Food and Beverage Management (1)
- History (1)
- Hospitality Administration and Management (1)
- Industrial Organization (1)
- Insurance (1)
- Institution
- Publication Year
- Publication
-
- Walden Dissertations and Doctoral Studies (19)
- Senior Theses (2)
- Articles (1)
- Business Review (1)
- Department of Marketing: Faculty Publications (1)
-
- Dissertations (1)
- Journal of Actuarial Practice (1993–2006) (1)
- Journal of International Technology and Information Management (1)
- Management Science and Information Systems Faculty Publication Series (1)
- Open Educational Resources (1)
- The US Army War College Quarterly: Parameters (1)
- Theses and Dissertations - UTB/UTPA (1)
- Publication Type
Articles 31 - 31 of 31
Full-Text Articles in Management Sciences and Quantitative Methods
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.