PORTFOLIO OPTIMIZATION OF SMALL ENTERPRISES AGAINST ADVERSE CHANGES IN INTEREST RATE
TABLE OF CONTENTSDECLARATION...........................................................................................................iiiACKNOWLEDGEMENT............................................................................................................iiii
DEDICATION.............................................................................................................................iiiv
LIST OF FIGURES ...vii
ABSTRACT…………………………………………………………………………………………….viii
CHAPTER ONE..............................................................................................................................3
Introduction......................................................................................................................................3
1.1 BACKGROUND OF STUDY...............................................................................................3
1.2 INTEREST RATE.................................................................................................................3
1.3 STATEMENT OF THE PROBLEM.....................................................................................3
1.4 OBJECTIVES OF THE STUDY...........................................................................................5
1.4.1 General Objectives..........................................................................................................3
1.4.2 Specific Objectives..........................................................................................................3
1.5 SIGNIFICANCE OF THE STUDY.......................................................................................3
1.6 LIMITATION OF THE STUDY...........................................................................................3
1.7 ASSUMPTIONS OF THE STUDY.......................................................................................7
1.8 THE SCOPE..........................................................................................................................7
1.9 DEFINITION OF TERMS.....................................................................................................71.10 LITERATURE REVIEW....................................................................................................8
CHAPTERTWO...........................................................................................................................13
REDINGTON IMMUNIZATION MODEL.................................................................................13
2.1 Introduction………………………………………………………………..……………13
2.1.1 Duration in a Portfolio...................................................................................................15
2.1.2 Convexity of a portfolio....................................................................................................16
2.2 GENERALIZATION OF THE MODEL.............................................................................18
2.2.1 General Application of the Model Application.......................................................20
CHAPTER THREE.......................................................................................................................22
3.1 DATA FINDINGS AND ANALYSIS...........................................................................22
3.2 DESCRIPTIVE STATISTICS........................................................................................22
vi3.2.1 Increase In Interest Rates..............................................................................................23
3.2.2 Decrease In Interest Rates.............................................................................................24 3.3 DISCUSSION OF FINDINGS .....................................................................................................29
CHAPTER FOUR
4.1CONCLUSION AND RECOMMENDATIONS.................................................................324.1.1 INTRODUCTION............................................................................................................324.2 CONCLUSION....................................................................................................................344.3 RECOMMENDATIONS FOR THE STUDY.....................................................................344.4 AREAS FOR FURTHER RESEARCH...............................................................................34
REFERENCES..............................................................................................................................35APPENDICIES..............................................................................................................................38APPENDIX I: INTRODUCTORY LETTER............................................................................38
APPENDIX II: DATA COLLECTED.......................................................................................39APPENDIX III:FORMULAS AND R CODES USED42
