On the Fisher-Weil immunization theorem (Q1096303): Difference between revisions
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Latest revision as of 13:50, 18 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Fisher-Weil immunization theorem |
scientific article |
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On the Fisher-Weil immunization theorem (English)
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1987
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This paper extends the classical immunization theorem of \textit{L. Fisher} and \textit{R. L. Weil} [J. Business 44, 408-431 (1971)] to the general case where the interest rate shocks are functions of time. It also examines some related results derived recently by \textit{H. G. Fong} and \textit{O. Vasicek} [e.g. Finance 39, 1541-1546 (1984)] and discusses duration drift and portfolio rebalancing.
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interest rate fluctuations
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immunization theorem
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interest rate shocks
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duration drift
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portfolio rebalancing
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