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Immunization of Bond Portfolios: Some New Results

  • Olivier de La Grandville

    (Department of Economics, The University of Geneva)

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    No abstract is available for this item.

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    Paper provided by The University of Western Australia, Department of Economics in its series Economics Discussion / Working Papers with number 01-26.

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    Length: 90 pages
    Date of creation: 2001
    Date of revision:
    Handle: RePEc:uwa:wpaper:01-26
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    1. Hopewell, Michael H & Kaufman, George G, 1973. "Bond Price Volatility and Term to Maturity: A Generalized Respecification," American Economic Review, American Economic Association, vol. 63(4), pages 749-53, September.
    2. Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(04), pages 627-650, November.
    3. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
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