Duration measures, immunization, and utility maximization

Article Abstract:

Immunization has been used since the 50s to protect bond portfolios against interest rate risks and is popular amongst US businesses. The study examines the circumstances when a risk averse investor behaves like an immunizer and shows that when this happens there is a lack of restriction on interest rates changes. This shows the importance of immunization for bond dealers. The study does not fix liabilities but assumes asset profile changes.

Security brokers and dealers, Management, Investments

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Optimal bond trading and the tax-timing option in Canada

Article Abstract:

A study was conducted on optimal bond trading and tax-timing options in Canada. The results suggest that tax option effect is smaller in Canada and unlikely to be of economic value to bond traders. Furthermore, the value of tax-timing options as measured by convexity should shift with changes in tax laws and in the term structure. The findings support the theory linking the value of tax-timing options with shifts in tax laws.

Canada, Tax policy, Credit market, Credit markets

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After-tax term structures of real interest rates: Inferences from the UK linked and non-linked gilt markets

Article Abstract:

The after-tax structure of real interest rates was estimated based on inferences from the UK linked and non-linked gilt markets.

Interest Rates, Research, Models, Tax research

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