The Immunization and Arbitrage Difficult to Match the Risk
Yan Zhang, Bin Yu
Available Online August 2013.
- https://doi.org/10.2991/icassr.2013.45How to use a DOI?
- Risk Immunization Arbitrage Market economy
- The problem of greatest importance in the financial investment is the existence of lots of risks primarily resulting from changes in interest rates and yields. It is stated in the immunization theory and the arbitrage pricing theory that the elimination of risks and further the obtaining of arbitrage can be realized by matching risks of assets with those of obligations, and it also seems possible to determine the theoretical price of financial assets through the idea of no-arbitrage. In this paper, the author proves the shortcoming of the the immunization theory by the employment of a mathematical example and a practical case, and points out that the conclusions of the arbitrage pricing theory are based on an assumption of an impossible scenario. It is concluded finally it is impossible as well as insignificant to eliminate investment risks in the decentralized decision-making market economy.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yan Zhang AU - Bin Yu PY - 2013/08 DA - 2013/08 TI - The Immunization and Arbitrage Difficult to Match the Risk BT - 2013 International Conference on Applied Social Science Research (ICASSR-2013) PB - Atlantis Press SP - 163 EP - 166 SN - 1951-6851 UR - https://doi.org/10.2991/icassr.2013.45 DO - https://doi.org/10.2991/icassr.2013.45 ID - Zhang2013/08 ER -