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Dispersion measures as immunization risk measures

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  • Balbas, Alejandro
  • Ibanez, Alfredo
  • Lopez, Susana
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-45PSB14-7/2/54dd4013f9140bc3114ed86ba9ad658c
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    Bibliographic Info

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

    Volume (Year): 26 (2002)
    Issue (Month): 6 (June)
    Pages: 1229-1244

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    Handle: RePEc:eee:jbfina:v:26:y:2002:i:6:p:1229-1244

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

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    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Balbas, Alejandro & Ibanez, Alfredo, 1998. "When can you immunize a bond portfolio?," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1571-1595, December.
    7. Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
    8. Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, FundaciĆ³n SEPI, vol. 21(1), pages 55-74, January.
    9. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-31, October.
    10. 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.
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    Cited by:
    1. 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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