Dispersion measures as immunization risk measures
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference18 articles.
1. Maximum potential change of a portfolio;Au;Journal of Fixed Income,1996
2. When can you immunize a bond portfolio?;Balbás;Journal of Banking and Finance,1998
3. A minimax risk strategy for portfolio immunization;Barber;Insurance: Mathematics and Economics,1998
4. Generalizing interest rate duration with directional derivatives: Direction X and applications;Bowden;Management Science,1997
5. Immunization, duration, and the term structure of interest rates;Bierwag;Journal of Financial and Quantitative Analysis,1977
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1. Optimal solution for immunizing arbitrarily scheduled multiple liabilities;Economics and the Mathematical Methods;2023
2. Duration Concepts, Analysis, and Applications;Encyclopedia of Finance;2022
3. Sensitivity-Based Bond Portfolio Immunization with Nonparametric Term Structure Models;SSRN Electronic Journal;2022
4. Model Risk in Bond Portfolio Hedging;SSRN Electronic Journal;2022
5. Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits;Risks;2021-03-25
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