Dynamic portfolio immunization policies |
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Authors: | GO Bierwag |
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Institution: | University of Oregon, Eugene, OR 97403, USA |
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Abstract: | A dynamic immunization strategy is a policy of portfolio selection that provides a rate of return that is at least as great as a ‘promised’ rate over a multi-period horizon. It is shown in this paper that the strategy is a ‘local’ immunizing process when a sequence of random interest rate shocks occur during a planning period. The technical features of the strategy explained and it is suggested that the strategy constitutes a ‘riskless’ strategy with which other strategies can be compared in a dynamic context. |
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