Dispersion measures as immunization risk measures
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 26 (2002)
Issue (Month): 6 (June)
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Web page: http://www.elsevier.com/locate/jbf
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- Balbas, Alejandro & Ibanez, Alfredo, 1998. "When can you immunize a bond portfolio?," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1571-1595, December.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1979. "Duration and the Measurement of Basis Risk," The Journal of Business, University of Chicago Press, vol. 52(1), pages 51-61, January.
- Bierwag, Gerald O. & Fooladi, Iraj & Roberts, Gordon S., 1993. "Designing an immunized portfolio: Is M-squared the key?," Journal of Banking & Finance, Elsevier, vol. 17(6), pages 1147-1170, December.
- Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 55-74, January.
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- Chambers, Donald R. & Carleton, Willard T. & McEnally, Richard W., 1988. "Immunizing Default-Free Bond Portfolios with a Duration Vector," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 89-104, March.
- Fong, H Gifford & Vasicek, Oldrich A, 1984. " A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-46, December.
- Bierwag, G. O., 1977. "Immunization, Duration, and the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(05), pages 725-742, December.
- 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.
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