Incorporating convexity in bond portfolio immunization using multifactor model: a semidefinite programming approach
Incorporating convexity in bond portfolio immunization using multifactor model: a semidefinite programming approach
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DOI：
10.1007/s40305-018-0196-4
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发表时间：
2018
影响因子：
1.4
通讯作者：
Zhu S. S.
中科院分区：
文献类型：
--
作者：
Zhu W.;Zhang C. H.;Liu Q.;Zhu S. S.
Bond portfolio immunization is a classical issue in finance. Since Macaulay.gave the concept of duration in 1938, many scholars proposed different kinds of duration.immunization models. In the literature of bond portfolio immunization using.multifactor model, to the best of our knowledge, researchers only use the first-order.immunization, which is usually called as duration immunization, and no one has.considered second-order effects in immunization, which is well known as “convexity”.in the case of single-factor model. In this paper, we introduce the second-order.information associated with multifactor model into bond portfolio immunization and.reformulate the corresponding problems as tractable semidefinite programs. Both.simulation analysis and empirical study show that the second-order immunization strategies exhibit more accurate approximation to the value change of bonds and thus result in better immunization performance.
