Immunization is an investment strategy often used by insurance companies. Usually, this
strategy takes into account the first‐and second‐order of Taylor series (Duration and …

Although most bond portfolios maintain a relatively stable duration over time and are thus
implicitly or explicitly “duration targeted,” the distinctive nature of duration targeting (DT) is …

In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why
and when the Macaulay duration concept happens to be a good approximation of a bond's …

Macaulay duration is a well-known and widely used interest rate risk measure. It is
commonly believed that it only works for parallel shifts of interest rates. We show in this …

In this paper we identify those shifts (continuous functions) of the term structure of interest
rates, against which a given bond portfolio (BP) is immunized. The set of such shifts (IMMU) …

A completely updated edition of the guide to modern bond analysis First published in 1972,
Inside the Yield Book revolutionized the fixed-income industry and forever altered the way …

In this paper we formulate an immunization problem, which is rarely stated. Instead of
reconstructing an existing bond portfolio B with the aim of securing a desired amount of, say …

The aim of this paper is to present bond portfolio immunization strategies in the case of
multiple liabilities, based on single-risk or multiple-risk measure models under the …

ACTA UNIVERSITATIS LODZIENSIS Marek Kaluszka* , Alina Kondratiuk-Janyska** ON DU
RATION-DISPERSION STRATEGIES FOR PORTFOLIO IMMU Page 1 ACTA …

This paper presents new strategies for bond portfolio immunization which combine the time-
honored duration with the M-Absolute measure defined by Nawalkha and Chambers (1996) …