Designing an immunized portfolio: Is M-squared the key?
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference18 articles.
1. Bond returns discrete stochastic processes and duration;Bierwag;Journal of Financial Research,1987
2. Duration analysis: Managing interest rate risk;Bierwag,1987
3. An immunization strategy is a minimax strategy;Bierwag;Journal of Finance,1982
4. Bond portfolio immunization: Tests of maturity one and two factor duration matching strategies;Bierwag;Financial Review,1987
5. Usefulness of duration in bond portfolio management: Response to critics.;Bierwag;Journal of Portfolio Management,1987
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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. Asset and Liability Risk Management in Financial Markets;Mindful Topics on Risk Analysis and Design of Experiments;2022
4. Model Risk in Bond Portfolio Hedging;SSRN Electronic Journal;2022
5. Duration Concepts, Analysis, and Applications;Encyclopedia of Finance;2021
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