Proceedings of the 2013 International Conference on Applied Social Science Research (ICASSR-2013)

The Immunization and Arbitrage Difficult to Match the Risk

Authors
Yan Zhang, Bin Yu
Corresponding Author
Yan Zhang
Available Online August 2013.
DOI
https://doi.org/10.2991/icassr.2013.45How to use a DOI?
Keywords
Risk Immunization Arbitrage Market economy
Abstract
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.
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Proceedings
2013 International Conference on Applied Social Science Research (ICASSR-2013)
Part of series
Advances in Intelligent Systems Research
Publication Date
August 2013
ISBN
978-90786-77-69-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/icassr.2013.45How to use a DOI?
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  -