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Portfolio models for fixed income securities
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Financial Optimization and Risk Management
Agenda Portfolio dedication Modell for porteføljeimmunisering Modeller for faktorimmunisering Statsobligasjoner Selskapsobligasjoner Oppsummering Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Financial Optimization and Risk Management
Introduction Stream of future liabilities May be known with relative certainty Is matched by portfolio of securities We concentrate here on fixed income securities Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Financial Optimization and Risk Management
Utgangspunkt Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Financial Optimization and Risk Management
Portfolio dedication Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Financial Optimization and Risk Management
Generalized portfolio dedication Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Financial Optimization and Risk Management
Mismatched portfolios Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Financial Optimization and Risk Management
V+: reinvested cash surplus V- : short term borrowing Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Financial Optimization and Risk Management
Porfolio horizon returns with given budget Final borrowing=0 Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Portfolio dedication: adding realistic features
Lot sizing Portfolio rebalancing Transaction costs Similar to mean-variance analysis Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Porteføljeimmunisering
Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Porteføljeimmunisering (2)
Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Porteføljeimmunisering (3)
Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Porteføljeimmunisering (4)
Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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Porteføljeimmunisering (5)
Professor Alexei A. Gaivoronski Financial Optimization and Risk Management
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