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1、CHAPTERFORTY-SEVENBONDIMMUNIZATION:ANASSET/LIABILITYOPTIMIZATIONSTRATEGYFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityThepurposeofthischapteristoreviewthemechanicsandapplicationsofthebondimmunizationstrategy.Inthefirstsectionwedefin
2、eimmunizationasaduration-matchingstrategy,andthencompareitwithmaturity-matchingasanalternativeapproachtolockinginrates.Tohedgethereinvestmentriskpresentinmaturity-matching,wethenexplainthesingle-periodimmunizationstrategyandtherebalancingproceduresthataccompanyit.Followingsingle-per
3、iodimmu-nization,wediscussmultiperiodimmunizationanditsapplicationsforthepen-sion,insurance,andthriftmarkets.Finally,wereviewvariationsonthestrategy,includingcombinationmatching,contingentimmunization,immunizationwithfutures,andimmunizationwithoptions.WHATISANIMMUNIZEDPORTFOLIO?Sing
4、le-periodimmunizationisusuallydefinedaslockinginafixedrateofreturnoveraprespecifiedhorizon,suchaslockingina10%returnforafive-yearperi-od.Italsocanbedefinedasgeneratingaminimumfuturevalueattheendofaspecifiedhorizon,suchasgenerating$100millionfroma$70millioninvestmentfiveyearsearlier.Withmul
5、tiperiodimmunization,thehorizonoverwhichratesarelockedinisextendedtoincludemultipleperiods(suchasascheduleofmonthlypayoutstoretireesofapensionplan).Multiperiodimmunizationisaduration-matchingstrategythatpermitsfundingofafixedscheduleofmultiplefuturepayoutsataminimumcost(suchasfunding
6、a$500millionscheduleofpayoutsatacostof$200million).PreviousversionsofthischapterappearinginprioreditionsoftheHandbookwerecoauthoredwithPeterChristensenandAnthonyLoFaso.1091Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1092PART6BondP
7、ortfolioManagementTheactuarygenerallycreditedwithpioneeringtheimmunizationstrategy,F.M.Reddington,definedimmunizationin1952as“theinvestmentoftheassetsinsuchawaythattheexistingbusinessisimmunetoageneralchangeintherateofinterest.”1Healsospecifiedaconditionforimmunization:Theaveragedurat
8、ionofassetsmustbese
