When can you immunize a bond portfolio?

Journal of Banking and Finance

Volumn 22, Issue 12, 1998, Pages 1571-1595

  Balbás, Alejandro ^a   Ibáñez, Alfredo ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

Author keywords

Dispersion measures; G11; Immunization; Maxmin portfolio; Weak immunization condition; Worst shock

Indexed keywords

EID: 0000580246     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(98)00070-3     Document Type: Article

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