The immunisation performance of minimum M-square portfolios
by Senay Agca
International Journal of Revenue Management (IJRM), Vol. 1, No. 4, 2007

Abstract: We examine the immunisation performance of minimum M-square portfolios using a Monte-Carlo simulation in which interest rates evolve according to an exponentially decaying volatility Heath–Jarrow–Morton (1992) model. We consider both duration, and duration and convexity matching immunisation strategies. Our results show that the immunisation performance of minimum M-square portfolios is very sensitive to the holding period. Minimum M-square portfolios have the best performance for short holding periods. However, all minimum M-square portfolios have good immunisation performance irrespective of the risk measure used, especially with duration and convexity matching strategies.

Online publication date: Fri, 26-Oct-2007

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Revenue Management (IJRM):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com