刊名：Journal of the Operations Research Society of China
题名：Incorporating Convexity in Bond Portfolio Immunization Using Multifactor Model: A Semidefinite Programming Approach
March 2018, Volume 6, Issue 1, pp3-23
作者： Wei Zhu, Cai-Hong Zhang, Qian Liu, Shu-Shang Zhu
单位：Sun Yat-sen University
摘要：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.
关键词：Immunization · Duration · Convexity · Multifactor model · Semidefinite
Programming
全文链接https://link.springer.com/article/10.1007/s40305-018-0196-4