A minimax risk strategy for portfolio immunization

Author:

Barber Joel R.,Copper Mark L.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference23 articles.

1. Immunization using principal component analysis;Barber;Journal of Portfolio Management,1996

2. Immunization, duration, and the term structure of interest rates;Bierwag;Journal of Financial and Quantitative Analysis,1977

3. Duration Analysis: Managing Interest Rate Risk;Bierwag,1987

4. Bond portfolio immunization and stochastic process risk;Bierwag;Journal of Bank Research,1983

5. An immunization strategy is a minimax strategy;Bierwag;Journal of Finance,1979

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1. 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

2. Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm;European Journal of Operational Research;2009-01

3. A risk hedging strategy under the nonparallel-shift yield curve;Physica A: Statistical Mechanics and its Applications;2005-08

4. Dispersion measures as immunization risk measures;Journal of Banking & Finance;2002-06

5. Maxmin Portfolios in Models Where Immunization is Not Feasible;Applied Optimization;2002

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