Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
Reference12 articles.
1. BIERWAG, G. O., Fooladi, I., and ROBERTS, G. S., Designing an Immunized Portfolio: Is M-Squared the Key?, Journal of Banking and Finance, Vol. 17, pp. 1147–1170, 1993.
2. BIERWAG, G. O., and KHANG, C., An Immunization Strategy is a Maxmin Strategy, Journal of Finance, Vol. 37, pp. 379–389, 1979.
3. FONG, H. G., and VASICEK, O. A., A Risk Minimizing Strategy for Portfolio Immunization, Journal of Finance, Vol. 39, pp. 1541–1546, 1984.
4. PRISMAN, E. Z., Immunization as a Maximin Strategy: New Look, Journal of Banking and Finance, Vol. 10, pp. 491–509, 1986.
5. BALBÁS, A., and IBÁÑEZ, A., When Can You Immunize a Bond Portfolio? Journal of Banking and Finance, Vol. 22, pp. 1571–1595, 1998.
Cited by
6 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Sensitivity-Based Bond Portfolio Immunization with Nonparametric Term Structure Models;SSRN Electronic Journal;2022
2. Model Risk in Bond Portfolio Hedging;SSRN Electronic Journal;2022
3. Minimax strategies and duality with applications in financial mathematics;Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas;2011-05-21
4. Minimizing Vector Risk Measures;Lecture Notes in Economics and Mathematical Systems;2010
5. Optimal reinsurance with general risk measures;Insurance: Mathematics and Economics;2009-06