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A maxmin policy for bond management

  • Ghezzi, Luca Luigi
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-3W1HK79-K/2/e28bf6323d9d7b21b0841e9410b79458
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 114 (1999)
    Issue (Month): 2 (April)
    Pages: 389-394

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    Handle: RePEc:eee:ejores:v:114:y:1999:i:2:p:389-394
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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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. Bierwag, G O & Khang, Chulsoon, 1979. "An Immunization Strategy Is a Minimax Strategy," Journal of Finance, American Finance Association, vol. 34(2), pages 389-99, May.
    3. 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.
    4. Stephen P. Bradley & Dwight B. Crane, 1972. "A Dynamic Model for Bond Portfolio Management," Management Science, INFORMS, vol. 19(2), pages 139-151, October.
    5. Bierwag, G. O., 1979. "Dynamic portfolio immunization policies," Journal of Banking & Finance, Elsevier, vol. 3(1), pages 23-41, April.
    6. Montrucchio, Luigi & Peccati, Lorenzo, 1991. "A note on Shiu--Fisher--Weil immunization theorem," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 125-131, July.
    7. 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.
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