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La inmunización contingente y otras estrategias financieras de gestión de renta fija. Aplicación empírca durante el período 1993 - 1997.
By: Luis Ferruz Agudo y María del Pilar Portillo Tarragona
ABSTRACT
Financial products such as unit trusts with guaranteed returns, pension plans or simply indivually managed portfolios where it is wished to guarantee a given level of return over a period of time, operate in a context thtat is appropiate fot the implementation of active strategies with limited risk, suchs as Contingent Immunization.
In this paper we analyse the results from the implementation of Contingent Immunization Strategies in the Spanish Government Debt Market during the period 1993 - 1997. We consider different stochastic proceses and distinct time scenarios. Finally, we compare the results obtained from the application of this strategy with those derived from Immunization strategy and an investment in one single class of asset.
KEY WORDS
Contingent Immunization; Portfolio Management; Term Structure of Interest Rates; Stochastic Process.
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