Issue 51/2018

The CEA states that the primary version is the paper one.

Michał Boczek, Marek Kałuszka

Nierówności typu Fonga-Vašíčka dla problemu immunizacji portfela aktywów i zobowiązań

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On the Fong-Vašíček type inequalities for the assets/ liabilities portfolio immunization problem

Abstract
In this paper, we discuss selected aspects of the problem of assets/liabilities portfolio immunization against changes in the interest rate structure. This issue is important for a number of financial institutions: banks, insurance companies, investment funds or pension funds. We give some new estimates for the value of the portfolio at a fixed time in the future and discuss their relationship with the existing results.

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Table of contents of issue 51

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