Immunization of multiple liabilities (Q1116617)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Immunization of multiple liabilities |
scientific article |
Statements
Immunization of multiple liabilities (English)
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1988
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It is well known that a sufficient condition for the immunization of multiple liabilities is the separate immunization of each liability outflow. This paper proves that this is also a necessary condition. It also discusses how one constructs immunized portfolios by means of linear programming.
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duration
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term structure of interest rates
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cash-flow matching
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sufficient condition
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immunization of multiple liabilities
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necessary condition
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immunized portfolios
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linear programming
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