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Designing an immunized portfolio: Is M-squared the key?

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  • Bierwag, Gerald O.
  • Fooladi, Iraj
  • Roberts, Gordon S.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-45F907J-56/2/88651cfef3ff2839e3650f7285250888
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 17 (1993)
Issue (Month): 6 (December)
Pages: 1147-1170

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Handle: RePEc:eee:jbfina:v:17:y:1993:i:6:p:1147-1170

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Web page: http://www.elsevier.com/locate/jbf

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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Balbas, Alejandro & Ibanez, Alfredo, 1998. "When can you immunize a bond portfolio?," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1571-1595, December.
  8. Galluccio, Stefano & Roncoroni, Andrea, 2006. "A new measure of cross-sectional risk and its empirical implications for portfolio risk management," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2387-2408, August.
  9. 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.

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