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Immunization of bond portfolios: A new general framework

Alberto Bueno-Guerrero et al.

Quantitative Finance and Economics2026https://doi.org/10.3934/qfe.2026007article
AJG 1
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0.50

What the paper says

We present a new general setting for the classical immunization problem under which we recover and generalize many of the results in the literature related to immunization of bond portfolios. We also propose a new duration vector adapted to our framework that allows us to obtain immunized portfolios by duration matching. We introduce the concept of second-best portfolio that is the portfolio that produces the minimum loss in the worst-case scenario. We obtain explicit expressions for this class of portfolios when short positions are allowed or forbidden. We also show that, when immunization cannot be achieved, the second-best portfolio is the closest to the duration matching situation. Finally, we carry out a numerical illustration of our theoretical results, showing the effectiveness of the duration measures and the second-best portfolios.

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https://doi.org/https://doi.org/10.3934/qfe.2026007

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@article{alberto2026,
  title        = {{Immunization of bond portfolios: A new general framework}},
  author       = {Alberto Bueno-Guerrero et al.},
  journal      = {Quantitative Finance and Economics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.3934/qfe.2026007},
}

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Immunization of bond portfolios: A new general framework

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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