Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 44 (1971)
Issue (Month): 4 (October)
Contact details of provider:
Web page: http://www.journals.uchicago.edu/JB/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Kroon, E.P., 1991. "Bond market efficiency : some Dutch evidence," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 441-451, June.
- Philipp Maier & Garima Vasishtha, 2008. "Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?," Working Papers 08-25, Bank of Canada.
- Jarmila Radová, 2007. "Measuring of bond price sensitivity," Český finanční a účetní časopis, University of Economics, Prague, vol. 2007(3), pages 41-55.
- Sonia Benito Muela, 2005. "Factores comunes en la ETTI española. Un análisis de corto y largo plazo," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0510, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- 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.
- 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 & Dall'O, Hakim, 2011. "Alternative models for hedging yield curve risk: An empirical comparison," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2991-3000, November.
- Armerin, Frederik & Björk, Tomas & Jensen, Bjarne Astrup, 2005. "Term Structure Models with Parallel and Proportional Shifts," Working Papers 2005-5, Copenhagen Business School, Department of Finance.
- Andre Thibeault & Larry Wynant, 1979. "Investor Reaction to the Political Environment in Quebec," Canadian Public Policy, University of Toronto Press, vol. 5(2), pages 236-247, Spring.
- Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
- 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.
- Balbas, Alejandro & Ibanez, Alfredo, 1998. "When can you immunize a bond portfolio?," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1571-1595, December.
- Sergio, Bianchi & Alessandro, Trudda, 2008. "Global Asset Return in Pension Funds: a dynamical risk analysis," MPRA Paper 12011, University Library of Munich, Germany, revised 14 Jun 2008.
- Groh, Alexander P. & Gottschalg, Oliver, 2009. "The opportunity cost of capital of US buyouts," IESE Research Papers D/780, IESE Business School.
- 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.
- Ghezzi, Luca Luigi, 1999. "A maxmin policy for bond management," European Journal of Operational Research, Elsevier, vol. 114(2), pages 389-394, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).
If references are entirely missing, you can add them using this form.