A bond portfolio strategy in which an investor ensures that liabilities can be met regardless of changes to interest rates. This is accomplished by matching the duration of the liabilities with the duration of the bonds within the portfolio, and by ensuring that the present values of the bonds in the portfolio match the present value of future liabilities. This type of strategy works only against non-parallel shifts in the yield curve.
Related information about multiperiod immunization:
- What is multiperiod immunization? definition and meaning
Definition of multiperiod immunization: A bond portfolio strategy in which an investor ensures that liabilities can be met regardless of changes to interest rates.
- Multiperiod Immunization - Financial Dictionary - The Free Dictionary
A portfolio strategy in which a portfolio is created that will be capable of satisfying more than one predetermined future liability regardless of interest rate changes ...
- Bonds Portfolio Management: Analysis and Application of the Model ...
This article discusses the theoretical analysis and practical application of the model of semideterministic multiperiod immunization, used in the management of ...
- HFIS 44
B. Multiperiod immunization. 1. The horizon over .... B. The pension market has made widespread use of both single-period and multiperiod immunization. 1.
- Immunization Definition | Investopedia
... that matches the durations of assets and liabilities thereby minimizing the impact of interest rates on the net worth. Also known as "multiperiod immunization".
- Liability Funding Strategies
Multiperiod immunization: satisfying more than one predetermined future liability regardless of interest rates change (see conditions on page 552). Cash Flow ...
- Matching concept
Also called horizon matching, a variation of multiperiod immunization and cash flow matching in which a portfolio is created that is always duration matched and ...
- Yahoo! Financial Glossary
Multiperiod immunization: A portfolio strategy in which a portfolio is created that will be capable of satisfying more than one predetermined future liability ...