![Mikhail Mishustin: ‘I Have the Great Pleasure of Sending Greetings to the Participants of the XXIV Yasin (April) International Academic Conference’ Mikhail Mishustin: ‘I Have the Great Pleasure of Sending Greetings to the Participants of the XXIV Yasin (April) International Academic Conference’](/data/2023/04/04/2025438101/3iStock-504118658 дом правительства.jpg)
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![Mikhail Mishustin: ‘I Have the Great Pleasure of Sending Greetings to the Participants of the XXIV Yasin (April) International Academic Conference’ Mikhail Mishustin: ‘I Have the Great Pleasure of Sending Greetings to the Participants of the XXIV Yasin (April) International Academic Conference’](/data/2023/04/04/2025438101/3iStock-504118658 дом правительства.jpg)
![Participation of long-distance seafarers in informal economic practices in the 1970s and 1990s: public and private Participation of long-distance seafarers in informal economic practices in the 1970s and 1990s: public and private](/data/2023/03/31/2022243071/Товар-деньги-товар фото для программы.jpeg)
![Conversation with ForbesLife: Alexey Belyanin shared his opinion on the study of trust in society Conversation with ForbesLife: Alexey Belyanin shared his opinion on the study of trust in society](/data/2023/04/13/2026364614/1screenshot (2).png)
The development of document flow in the departments is heterogeneous. Evgeny Styrin commented on the research on digitalization of data conducted by the Polylog agency for the Kommersant.
![Transfer training in bioinformatics Transfer training in bioinformatics](/data/2023/03/30/2022542437/3Снимок экрана 2023-03-30 в 11.02.10.png)
The article "Optimal Solution for Immunizing Arbitrarily Scheduled Multiple Liabilities" (In Rus.) of Kurochkin S., Rodina V. is accepted for publication in the "Economics and Mathematical Methods" journal.
Abstract. Immunization, a control tool for interest rate dependent changes in the value of an asset portfolio given a similar dependency for a target liability portfolio, is central to portfolio management. A vast body of academic literature describes various immunization models either for the case of a single liability payout or assuming a specific change in the yield curve or both. This paper is the first to propose an immunization solution for the case of multiple liability payouts assuming arbitrary changes in the yield curve. For the case of multiple liability payouts, we generalize M-Absolute, which is a risk measure proposed by Nawalkha и Chambers (1996), and estimate the proximity of payment streams with EMD (the Wasserstein distance) which is a well-known tool in machine learning. In line with Fong and Vasicek (1984), it is shown that portfolio’s interest rate risk is constrained to a product of two factors with one factor, EMD between asset and liability streams, being only dependent on the portfolio structure and the other factor, the sup-norm of the function of interest rate shocks, being solely determined by changes in the yield curve. We also show the unimprovability of the estimate and obtain, in an explicit form, a computational procedure for the optimal immunizing portfolio. The results are practically applicable as exemplified by the immunization of an annuity-type security with a portfolio of government bonds.
Abstract. Immunization, a control tool for interest rate dependent changes in the value of an asset portfolio given a similar dependency for a target liability portfolio, is central to portfolio management. A vast body of academic literature describes various immunization models either for the case of a single liability payout or assuming a specific change in the yield curve or both. This paper is the first to propose an immunization solution for the case of multiple liability payouts assuming arbitrary changes in the yield curve. For the case of multiple liability payouts, we generalize M-Absolute, which is a risk measure proposed by Nawalkha и Chambers (1996), and estimate the proximity of payment streams with EMD (the Wasserstein distance) which is a well-known tool in machine learning. In line with Fong and Vasicek (1984), it is shown that portfolio’s interest rate risk is constrained to a product of two factors with one factor, EMD between asset and liability streams, being only dependent on the portfolio structure and the other factor, the sup-norm of the function of interest rate shocks, being solely determined by changes in the yield curve. We also show the unimprovability of the estimate and obtain, in an explicit form, a computational procedure for the optimal immunizing portfolio. The results are practically applicable as exemplified by the immunization of an annuity-type security with a portfolio of government bonds.
![Joint scientific workshop of the Department of Economics and Finance and IDLab Joint scientific workshop of the Department of Economics and Finance and IDLab](/data/2023/04/01/2025183619/photo_2023-03-27_12-58-38.jpg)
On March 12, the Higher School of Economics held an open day for undergraduate and specialist applicants. Many activities took place in the building on Pokrovsky Boulevard: Presentations of faculties and campuses, speeches by the Admissions Committee, events held by student organizations and a tour of the historical buildings of the university.
On March 22, an interactive lecture “Does Culture Matter?” was held at the Atomic Energy Information Center (AEIC) in Nizhny Novgorod.
The articles of the staff of the laboratory are published in the journal "Social Policy and Society"
![The articles of the staff of the laboratory are published in the journal "Social Policy and Society" The articles of the staff of the laboratory are published in the journal "Social Policy and Society"](/data/2023/03/29/2021910194/1social_policy and society.jpg)