A note on immunization under a general stochastic equilibrium model of the term structure (Q1072320)

Using the model for the term structure of interest rates developed by \textit{J. C. Cox}, \textit{J. E. Ingersoll} and \textit{S. A. Roses} [A re- examination of traditional hypotheses about the term structure of interest rates. J. Finance 36, 769-799 (1981)], the author generalizes \textit{Ph. P. Boyle}'s immunization theorem [Immunization under stochastic models of the term structure. J. Inst. Actuaries 105, 177-187 (1978); Recent models of the term structure of interest rates with actuarial applications. Transactions 21st Int. Congr. Actuaries, Vol. IV, 95-104 (1980)]. It should be noted that the cash flows under consideration are fixed and certain; they are independent of interest rate fluctuations.