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Portfolio models for fixed income securities

Portfolio models for fixed income securities. Agenda. Portfolio dedication Modell for porteføljeimmunisering Modeller for faktorimmunisering Statsobligasjoner Selskapsobligasjoner Oppsummering. Introduction. Stream of future liabilities May be known with relative certainty

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Portfolio models for fixed income securities

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  1. Portfolio models for fixed income securities

  2. Agenda • Portfolio dedication • Modell for porteføljeimmunisering • Modeller for faktorimmunisering • Statsobligasjoner • Selskapsobligasjoner • Oppsummering Financial Optimization and Risk Management

  3. Introduction • Stream of future liabilities • May be known with relative certainty Is matched by portfolio of securities We concentrate here on fixed income securities Financial Optimization and Risk Management

  4. Utgangspunkt Financial Optimization and Risk Management

  5. Portfolio dedication Financial Optimization and Risk Management

  6. Generalized portfolio dedication Financial Optimization and Risk Management

  7. Mismatched portfolios Financial Optimization and Risk Management

  8. V+: reinvested cash surplus • V- : short term borrowing Financial Optimization and Risk Management

  9. Porfolio horizon returns with given budget • Final borrowing=0 Financial Optimization and Risk Management

  10. Portfolio dedication: addingrealistic features • Lot sizing • Portfolio rebalancing • Transaction costs • Similar to mean-variance analysis Financial Optimization and Risk Management

  11. Porteføljeimmunisering Financial Optimization and Risk Management

  12. Porteføljeimmunisering (2) Financial Optimization and Risk Management

  13. Porteføljeimmunisering (3) Financial Optimization and Risk Management

  14. Porteføljeimmunisering (4) Financial Optimization and Risk Management

  15. Porteføljeimmunisering (5) Financial Optimization and Risk Management

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