Duration models and IRR management: A question of dimensions?
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- Fong, H Gifford & Vasicek, Oldrich A, 1984. " A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-1546, December.
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- Gloria M. Soto Pacheco & Mª Asunción Prats Albentosa, 2002. "La Inmunización Financiera: Evaluación De Diferentes Estructuras De Cartera," Working Papers. Serie EC 2002-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Robert R. Bliss, 1997. "Movements in the term structure of interest rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 16-33.
- 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.
- 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.
- 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.
- Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 55-74, January.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
- Fooladi, Iraj & Roberts, Gordon S., 1992. "Bond portfolio immunization: Canadian tests," Journal of Economics and Business, Elsevier, vol. 44(1), pages 3-17, February.
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