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

Risultato della ricerca: Contributo su rivista › Articolo in rivista › 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.

Lingua originale	Inglese
pagine (da-a)	173-177
Numero di pagine	5
Rivista	Insurance: Mathematics and Economics
Volume	11
Numero di pubblicazione	3
DOI	https://doi.org/10.1016/0167-6687(92)90024-6
Stato di pubblicazione	Pubblicato - ott 1992
Pubblicato esternamente	Sì

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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",

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

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Immunization of investments with partially negative cash-flows

Abstract

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