Pregled bibliografske jedinice broj: 133726
Immunization Strategies based on the Macaulay Duration Concept
Immunization Strategies based on the Macaulay Duration Concept // Abstract Book of the Fifth EURO/INFORMS Joint International Meeting "New Opportunities for Operations Research"
Istanbul: The Association of European Operational Research Societies, Institute for Operations Research and the Management Sciences, Turkish Operational Research Society, 2003. (predavanje, međunarodna recenzija, sažetak, znanstveni)
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Naslov
Immunization Strategies based on the Macaulay Duration Concept
Autori
Aljinović, Zdravka
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni
Izvornik
Abstract Book of the Fifth EURO/INFORMS Joint International Meeting "New Opportunities for Operations Research"
/ - Istanbul : The Association of European Operational Research Societies, Institute for Operations Research and the Management Sciences, Turkish Operational Research Society, 2003
Skup
Fifth EURO/INFORMS Joint International Meeting "New Opportunities for Operations Research"
Mjesto i datum
Istanbul, Turska, 06.07.2003. - 10.07.2003
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
immunization strategies; Macaulay duration
Sažetak
This paper discusses immunization strategies which are closely related to the basic and simplest duration measure - Macaulay duration. Although there are serious objections to the strategies based on Macaulay duration, primarily to the assumption on interest rate trends in the investment period, in some empirical investigations it is found that the simple Macaulay duration works at least as well as any of the alternatives. The main issues in the paper are illustrated with numerical examples.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
