Improving Interest Rate Risk Hedging Strategies through Regularization

The effectiveness of duration and convexity hedging strategies deteriorates in the presence of non-parallel shifts of the yield curve. In the absence of appropriate constraints, the extension of these strategies accounting for changes in the shape of the yield curve generates unstable weights and ex...

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Veröffentlicht in:	Financial analysts journal 2022-10, Vol.78 (4), p.18-36
Hauptverfasser:	Mantilla-Garcia, Daniel, Martellini, Lionel, Milhau, Vincent, Ramirez-Garrido, Hector Enrique
Format:	Artikel
Sprache:	eng
Schlagworte:	Hedging Immunization interest rate hedging Interest rate risk Leverage Optimization pension liability-hedging robust bond portfolio immunization
Online-Zugang:	Volltext
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