Bond Immunization An Asset Liability Optimization Strategy推荐.pdfVIP

CHAPTER FORTY-SEVEN BOND IMMUNIZATION: AN ASSET/LIABILITY OPTIMIZATION STRATEGY FRANK J. FABOZZI , PH .D., CFA, CPA Frederick Frank Adjunct Professor of Finance School of Management Yale University The purpose of this chapter is to review the mechanics and applications of the bond immunization strategy. In the first section we define immunization as a duration-matching strategy, and then compare it with maturity-matching as an alternative approach to locking in rates. To hedge the reinvestment risk present in maturity-matching, we then explain the single-period immunization strategy and the rebalancing procedures that accompany it. Following single-period immu- nization, we discuss multiperiod immunization and its applications for the pen- sion, insurance, and thrift markets. Finally, we review variations on the strategy, including combination matching, contingent immunization, immunization with futures, and immunization with options. WHAT IS AN IMMUNIZED PORTFOLIO? Single-period immunization is usually defined as locking in a fixed rate of return over a prespecified horizon, such as locking in a 10% return for a five-year peri- od. It also can be defined as generating a minimum future value at the end of a specified horizon, such as generating $100 million from a $70 million investment five years earlier. With multiperiod immunization, the horizon over which rates are locked in is extended to inc