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Bullet Immunization and Active Management
The RiskReturn Tradeoff
A New Approach to Immunization Mathematics
7 other sections not shown
60 percent active immunization active management actual actuarial rate aftertax analysis approach asset mix assumed assumptions average basis points bullet immunization callable bonds cash flow variance cash match chapter computed contingent immunization continuously compounded return correct forecasts curvature dedicated bond portfolio dedicated portfolio defined discount bond duration constraint duration matching equation exchange rate expected return financing five-year floor return forecasting ability forecasting accuracy forward rates futures contract immunized portfolio immunized return implies interest rate investment liability stream linear Macaulay duration mathematical maximize Mean Deviation mean return o o o o objective immunization OOOOOOO OOOOOOO optimal Order Statistics outperform payment portfolio yield present value probability of triggering rebalancing reduced contribution reinvestment rate return distribution risk minimization short position simulation spot rate standard deviation target return theoretical tion total return variables volatility yield curve yield shift yield target yield to maturity zero coupon bond