On the Fisher-Weil immunization theorem
type: Item
instance of: scholarly article
title: On the Fisher-Weil immunization theorem
zbMATH Open document ID: 0633.62109
DOI: 10.1016/0167-6687(87)90030-8
published in: Insurance Mathematics \& Economics
publication date: 1987-01-01T00:00:00Z
review text: This paper extends the classical immunization theorem of \textit{L. Fisher} and \textit{R. L. Weil} [J. Business 44, 408-431 (1971)] to the general case where the interest rate shocks are functions of time. It also examines some related results derived recently by \textit{H. G. Fong} and \textit{O. Vasicek} [e.g. Finance 39, 1541-1546 (1984)] and discusses duration drift and portfolio rebalancing.
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 4030792
zbMATH Keywords: interest rate fluctuations
zbMATH Keywords: immunization theorem
zbMATH Keywords: interest rate shocks
zbMATH Keywords: duration drift
zbMATH Keywords: portfolio rebalancing
author: E. S. W. Shiu
MaRDI profile type: Publication
full work available at URL: 0167-6687(87)90030-8
OpenAlex ID: W2019192588
cites work: A note on immunization under a general stochastic equilibrium model of the term structure
cites work: A theory of the term structure of interest rates
cites work: Q3338203
cites work: Q4124106
cites work: Q5526189
description: scientific article; zbMATH DE number 4030792