A type of immunization wherein the duration of assets in the portfolio is matched to the duration of the investor's liabilities. Since duration is a measure in determining a bond's sensitivity to interest rates, duration matching is used to manage a portfolio so that changes in interest rates will influence price and reinvestment risk at the same rate, hence, keeping the portfolio's rate of return constant.
Related information about duration matching strategy:
- Duration Matching Strategy - Financial Dictionary - The Free Dictionary
An immunization technique that matches asset duration with the duration of the liabilities. Duration Matching Strategy. An immunization strategy in which one ...
- What is duration matching strategy? definition and meaning
Definition of duration matching strategy: A type of immunization wherein the duration of assets in the portfolio is matched to the duration of the investor's liabilities ...
- Duration Basics
Jan 1, 2007 ... the length of the investor's planned holding. This. “duration matching” strategy attempts to manage the portfolio so that changes in interest rates ...
- duration matching strategy - Invest Definition
duration matching strategy definition: A method of assembling a bond portfolio so that the duration of the portfolio equals the duration of the investor's liability ...
- Financial Mathematics for Actuaries
The duration matching strategy involves constructing a portfolio of assets such .... 12.17. 2. • It should be noted that the duration matching strategy is based on ...
- Duration Matching Strategy Research Portals
Most updated research results on Duration Matching Strategy served below. Click and enjoy! ... Study Latest News Coverage on Duration Matching Strategy ...
- Optimized Yield Curve Matching
Portfolio Immunization. Practice of minimizing amount of interest rate risk to a portfolio; This project explores a duration matching strategy. Black Box Optimizer ...
- Interest Rate Risk - Virginia Tech
and with the duration matching strategy, HJM and traditional duration measures ... duration matching strategy is not the most appropriate immunization approach ...