A Risk Minimizing Strategy for Portfolio Immunization
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 39 (1984)
Issue (Month): 5 (December)
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- Barber, Joel R. & Copper, Mark L., 1998. "A minimax risk strategy for portfolio immunization," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 173-177, November.
- Ventura Bravo, Jorge Miguel & Pereira da Silva, Carlos Manuel, 2006. "Immunization using a stochastic-process independent multi-factor model: The Portuguese experience," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 133-156, January.
- Balbas, Alejandro & Ibanez, Alfredo & Lopez, Susana, 2002. "Dispersion measures as immunization risk measures," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1229-1244, June.
- Carcano, Nicola & Foresi, Silverio, 1997. "Hedging against interest rate risk: Reconsidering volatility-adjusted immunization," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 127-141, February.
- Alejandro Balbas & Esperanza H. Montagut & Maria Jose Perez Fructuoso, 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," Business Economics Working Papers wb043312, Universidad Carlos III, Departamento de Economía de la Empresa.
- Soto, Gloria M., 2001. "Immunization derived from a polynomial duration vector in the Spanish bond market," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1037-1057, June.
- Hurlimann, Werner, 2002. "On immunization, stop-loss order and the maximum Shiu measure," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 315-325, December.
- Soto, Gloria M., 2004. "Duration models and IRR management: A question of dimensions?," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1089-1110, May.
- Nawalkha, Sanjay K., 1995. "The duration vector: A continuous-time extension to default-free interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1359-1366, November.
- Phillip Daves & Michael Ehrhardt, 2011. "Creating a synthetic after-tax zero-coupon bond using US Treasury STRIP bonds: implications for the true after-tax spot rate," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 695-705.
- Alina Kondratiuk-Janyska & Marek Kaluszka, 2009. "On new immunization strategies under random shocks on the term structure of interest rates," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 91-101.
- Ivan Popchev & Irina Radeva, 2004. "Bonds Portfolio Management: Analysis and Application of the Model of Multiperiod Immunization," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 28-43.
- Gajek, Leslaw, 2005. "Axiom of solvency and portfolio immunization under random interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 317-328, June.
- Balbas, Alejandro & Ibanez, Alfredo, 1998. "When can you immunize a bond portfolio?," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1571-1595, December.
- Umberto Cherubini & Agnese Sironi, . "Bond Trading, Market Anomalies and Neural Networks: An Application with Kohonen Nets," Computing in Economics and Finance 1996 _012, Society for Computational Economics.
- Nawalkha, Sanjay K. & Soto, Gloria M. & Zhang, Jun, 2003. "Generalized M-vector models for hedging interest rate risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1581-1604, August.
- Roncoroni, Andrea & Galluccio, Stefano & Guiotto, Paolo, 2010. "Shape factors and cross-sectional risk," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2320-2340, November.
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