Immunization of investments with partially negative cash-flows

Ernesto Salinelli

doi:10.1016/0167-6687(92)90024-6

Immunization of investments with partially negative cash-flows

Ernesto Salinelli

Research output: Contribution to journal › Article › peer-review

Abstract

This paper deals with the immunization problem in the case of negative cash-flows. It is proven that global immunization is impossible when investments with negative cash-flows are considered. Furthermore, some partial results on local immunization are given.

Original language	English
Pages (from-to)	173-177
Number of pages	5
Journal	Insurance: Mathematics and Economics
Volume	11
Issue number	3
DOIs	https://doi.org/10.1016/0167-6687(92)90024-6
Publication status	Published - Oct 1992
Externally published	Yes

Keywords

Duration
Immunization
Investments
Log-convexity
Negative cash-flows

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10.1016/0167-6687(92)90024-6

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title = "Immunization of investments with partially negative cash-flows",

abstract = "This paper deals with the immunization problem in the case of negative cash-flows. It is proven that global immunization is impossible when investments with negative cash-flows are considered. Furthermore, some partial results on local immunization are given.",

keywords = "Duration, Immunization, Investments, Log-convexity, Negative cash-flows",

author = "Ernesto Salinelli",

year = "1992",

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language = "English",

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AB - This paper deals with the immunization problem in the case of negative cash-flows. It is proven that global immunization is impossible when investments with negative cash-flows are considered. Furthermore, some partial results on local immunization are given.

KW - Duration

KW - Immunization

KW - Investments

KW - Log-convexity

KW - Negative cash-flows

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U2 - 10.1016/0167-6687(92)90024-6

DO - 10.1016/0167-6687(92)90024-6

M3 - Article

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VL - 11

SP - 173

EP - 177

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Immunization of investments with partially negative cash-flows

Abstract

Keywords

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