Portfolio Immunization: Techniques in Python for Liability-Driven Investing

Liability-Driven Investing (LDI) is a strategy used by investors to manage their portfolios in a way that prioritizes meeting future obligations, such as liabilities or financial commitments. This approach focuses on ensuring that the portfolio’s performance aligns with the investor’s specific liabilities, rather than simply seeking to maximize returns. LDI is crucial in portfolio management as it helps investors mitigate risks and enhance long-term financial security. In this tutorial, we will explore the concept of Portfolio Immunization and how Python can be used to implement advanced techniques for effective Liability-Driven Investing.

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Table of Contents

• Overview of Portfolio Immunization: Brief description of the concept of Portfolio Immunization and its applications
• Building a Liability Matching Portfolio: Steps to construct a portfolio that matches the liabilities of the investor
• Duration Matching for Immunization: Understanding and implementing duration matching techniques for portfolio immunization
• Convexity Matching: Exploring the concept of convexity matching and its role in immunizing a portfolio
• Cash Flow Matching: Implementing cash flow matching strategies to ensure portfolio…