Add to ORKGSummary. This paper deals with new immunization strategies for a noncallable and default-free bond portfolio. This approach refers to the Fong and Vasicek (1984), the Nawaikha and Chambers (1996), the Balbás and Ibáfíez (1998), and the Balbás, Ibáflez and López (2002) studies among others and relies on minimizing a single-risk measure which is a linear combination of the duration gap and the dispersion o f portfolio payments
The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...
Immunization is a technique to immunize an investor (such as a bondholder) against the risk that ari...
This paper tests the effectiveness of contingent immunization, a stop loss strategy that allows port...
This paper deals with new immunization strategies for a noncallable and default-free bond portfolio....
The object of this paper is to give conditions under which it is possible to immunize a bond portfol...
This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarante...
Immunization is a widely used tool in bond portfolio management, capable of hedging interest rate ri...
The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures d...
In this chapter we develop a new immunization model based on a parametric specification of the term ...
In this paper, we evaluate the relative immunization performance of the multifactor parametric inter...
In this paper, we develop a portfolio optimization method to maximize the performance of a fixed inc...
In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and wh...
We generalize the contribution of Fong and Vasicek (Financ Anal J 39:73–78, 1983a; Innov Bond Portf ...
Financial immunization is a passive management strategy for portfolios comprising fixed income finan...
In this paper, we develop a new immunization model based on a parametric specification of the term s...
The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...
Immunization is a technique to immunize an investor (such as a bondholder) against the risk that ari...
This paper tests the effectiveness of contingent immunization, a stop loss strategy that allows port...
This paper deals with new immunization strategies for a noncallable and default-free bond portfolio....
The object of this paper is to give conditions under which it is possible to immunize a bond portfol...
This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarante...
Immunization is a widely used tool in bond portfolio management, capable of hedging interest rate ri...
The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures d...
In this chapter we develop a new immunization model based on a parametric specification of the term ...
In this paper, we evaluate the relative immunization performance of the multifactor parametric inter...
In this paper, we develop a portfolio optimization method to maximize the performance of a fixed inc...
In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and wh...
We generalize the contribution of Fong and Vasicek (Financ Anal J 39:73–78, 1983a; Innov Bond Portf ...
Financial immunization is a passive management strategy for portfolios comprising fixed income finan...
In this paper, we develop a new immunization model based on a parametric specification of the term s...
The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...
Immunization is a technique to immunize an investor (such as a bondholder) against the risk that ari...
This paper tests the effectiveness of contingent immunization, a stop loss strategy that allows port...