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Lower Bounds on Portfolio Performance: An Extension of the Immunization Strategy

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  • Marshall, William J.
  • Yawitz, Jess B.

Abstract

The concept of immunization is currently one of the most widely discussed innovations in bond portfolio management. The interest in immunization, which allows one to nearly guarantee a minimum return performance over a specified investment horizon, is due in large measure to the desire on the part of bond managers to reduce the risk which has accompanied the recent swings in interest rates.

Suggested Citation

  • Marshall, William J. & Yawitz, Jess B., 1982. "Lower Bounds on Portfolio Performance: An Extension of the Immunization Strategy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 101-113, March.
    • Handle: RePEc:cup:jfinqa:v:17:y:1982:i:01:p:101-113_01
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