Immunizing Default-Free Bond Portfolios with a Duration Vector
在连续复利利率期限结构可用多项式表示的假设下，从Chambers和Carleton的模型推导出免疫策略，并通过组合测试发现传统Macaulay久期优于到期日或朴素方法，而久期向量方法能进一步改进免疫效果。
Dissatisfaction occasionally has been expressed with traditional measures of duration for immunization on conceptual grounds. However, more elegant duration measures have not been found to be superior to the traditional ones in empirical tests of immunization efficacy. Under the assumption that the term structure of continuously compounded interest rates can be expressed as a polynomial, Chambers and Carleton (1981) demonstrate that the finite and noninstantaneous return of a default-free bond can be expressed as a vector product of a duration vector and a shift vector. This study derives immunization strategies from the model and tests them. The results of the portfolio tests indicate that the traditional duration approach of Macaulay provides enhanced immunization relative to maturity approaches or naive approaches. However, the duration vector approach produces further improvements.