A minimax risk strategy for portfolio immunization
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- 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.
- Khang, Chulsoon, 1979. "Bond Immunization When Short-Term Interest Rates Fluctuate More Than Long-Term Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 1085-1090, December.
- 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.
- 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.
- 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.
- Uberti, M., 1997. "A note on Shiu's immunization results," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 195-200, December.
- 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.
- 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.
- Cooper, I. A., 1977. "Asset Values, Interest-Rate Changes, and Duration," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(05), pages 701-723, December.
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