CONTROL OF THE INTEREST RATE RISK IN A BOND PORTFOLIO AND GOAL PROGRAMMING

• 발행기관: People & Global Business Association
• 저자명: Sang Hoon Kim
• 간행물 정보: 『Global Business and Finance Review』Vol.3 No.1, 35~48쪽, 전체 13쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 1998.06.30

영문 초록

The interest rate risk of a bond investment is divided into the price and reinvestment risks. It has shown that reduction of one risk can be achieved only by increasing the other risk by the same amount. Therefore, control of the interest rate risk should be dealt with constructing a bond portfolio with a desirable combination of the two risks depending on expectation on future interest rates and also subject to various investment goals and constraints. This paper provides a prototype goal programming model which can be extended to control the interest rate risk of a broad range of financial assets.

목차

Abstract

INTRODUCTION

RELATIONSHIP BETWEEN THE PRICE AND REINVESTMENT RISKS

THE GOAL PROGRAMMING MODEL

THE EXAMPLE

SUMMARY AND CONCLUSION

REFERENCES

BIOGRAPHY