三级 book3 P38 中间部位写到
It is important to note that satisfying these three conditions will assure immunization only against parallel rate shifts.
In the case of nonparallel rate changes, linear programming models can be used to construct minimum-risk immunized portfolios for multiple liabilities.
The procedure is to minimize a measure of immunization risk for multiple liabilities.
The minimaztion procedure is subject to the constraints imposed by the conditions required for immunization under the assumption of a parallel shift along with any other relevant investment constraints.
好像是说,
上面三个条件只能满足利率曲线平移的情况
对于非水平移动的而利率曲线,就需要用线性规划模型,针对多期债务构造最小风险的免疫组合
过程就是最小化免疫风险
下面我就不明白了,
好像是说,最小化的过程受到如下约束,即免疫要求假设利率曲线是平移的,以及其他的相关投资约定。
那么他说这个是用来解决利率曲线的非平移移动,为什么后面还说需要假设利率曲线是平移的呢?
哪位大侠,帮忙解释一下啊?