Question
A company pension fund has a sequence of future pension liabilities that are hedged with a bond portfolio to remove interest rate risk. The pension
A company pension fund has a sequence of future pension liabilities that are hedged with a bond portfolio to remove interest rate risk. The pension fund is using a duration-hedging strategy, but this strategy has not been completely successful in removing interest rate risk, especially when there have been large movements in interest rates.
Identify the problem and suggest an appropriate solution.
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Equity Asset Valuation
Authors: Jerald E. Pinto, Elaine Henry, Thomas R. Robinson, John D. Stowe, Abby Cohen
2nd Edition
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