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

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

Accesso al documento

10.1016/0167-6687(92)90024-6

Altri file e collegamenti

Link to publication in Scopus

Cita questo

@article{c7a797a83f6d424bab7a08f8ff34cf88,

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",

month = oct,

doi = "10.1016/0167-6687(92)90024-6",

language = "English",

volume = "11",

pages = "173--177",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier",

number = "3",

}

TY - JOUR

T1 - Immunization of investments with partially negative cash-flows

AU - Salinelli, Ernesto

PY - 1992/10

Y1 - 1992/10

N2 - 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.

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

UR - https://www.scopus.com/pages/publications/44049110436

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

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

M3 - Article

SN - 0167-6687

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

Accesso al documento

Altri file e collegamenti

Fingerprint

Cita questo