Add to ORKGThe object of this paper is to give conditions under which it is possible to immunize a bond portfolio. Maxmin strategies are also studied, as well as their relations with immunized ones. Some special shocks on the interest rate are analyzed, and general conditions about immunization are obtained. When immunization is not possible, capital losses are measured
Financial immunization is a passive management strategy for portfolios comprising fixed income finan...
Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics...
Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics...
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 existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...
In this paper, we evaluate the relative immunization performance of the multifactor parametric inter...
In this chapter we develop a new immunization model based on a parametric specification of the term ...
Summary. This paper deals with new immunization strategies for a noncallable and default-free bond p...
In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and wh...
In this paper, we develop a new immunization model based on a parametric specification of the term s...
In this paper, we develop a portfolio optimization method to maximize the performance of a fixed inc...
This paper deals with new immunization strategies for a noncallable and default-free bond portfolio....
The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures d...
Financial immunization is a passive management strategy for portfolios comprising fixed income finan...
Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics...
Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics...
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 existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...
In this paper, we evaluate the relative immunization performance of the multifactor parametric inter...
In this chapter we develop a new immunization model based on a parametric specification of the term ...
Summary. This paper deals with new immunization strategies for a noncallable and default-free bond p...
In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and wh...
In this paper, we develop a new immunization model based on a parametric specification of the term s...
In this paper, we develop a portfolio optimization method to maximize the performance of a fixed inc...
This paper deals with new immunization strategies for a noncallable and default-free bond portfolio....
The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures d...
Financial immunization is a passive management strategy for portfolios comprising fixed income finan...
Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics...
Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics...