Bonds Portfolio Management: Analysis and Application of the Model of Multiperiod Immunization Cover Image
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Управление на облигационни портфейли: анализ и приложение на модела за много-периодна имунизация
Bonds Portfolio Management: Analysis and Application of the Model of Multiperiod Immunization

Author(s): Ivan Popchev, Irina Radeva
Subject(s): Economy
Published by: Институт за икономически изследвания при Българска академия на науките

Summary/Abstract: This article discusses the theoretical analysis and practical application of the model of semideterministic multiperiod immunization, used in the management of assets and liabilities. The emphasis is on the main theorems, underlying the theory of the immunization, the formulation of the resultant optimization problem and its linearization, the technological sequencing of its usage and the necessary preliminary processing of the data before the latter is input into the linear optimization function. The application of the model is illustrated with an example and the results achieved are commented upon in view of their applicability.

  • Issue Year: 2004
  • Issue No: 4
  • Page Range: 28-43
  • Page Count: 16
  • Language: Bulgarian