An improved immunization strategy: M-absolute

Financial Analysts Journal

Volumn 52, Issue 5, 1996, Pages 69-76

  Nawalkha, Sanjay K ^a   Chambers, Donald R ^b  

^a UNIVERSITY OF BALTIMORE   (United States)

^b LAFAYETTE COLLEGE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010879451     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n5.2026     Document Type: Article

References (6)

1. Chambers, Donald R., Willard T. Carleton, and Richard W. McEnally. 1988. "Immunizing Default-Free Bond Portfolios with a Duration Vector." Journal of Financial and Quantitative Analysis, vol. 23, no. 1 (March):89-104.
2. Elton, Edwin J., Martin J. Gruber, and Roni Michaely. 1990. "The Structure of Spot Rates and Immunization." Journal of Finance, vol. 45, no. 2 (June):629-42.
3. Fisher, Lawrence, and Romand L. Weil. 1971. "Coping with the Risk of Interest Rate Fluctuations: Return to Bondholders from Naive and Optimal Strategies." Journal of Business, vol. 43, no. 4 (October):408-31.
4. Fong, H. Gifford, and Oldrich A. Vasicek. 1983. "Return Maximization for Immunized Portfolios." In Innovations of Bond Portfolio Management: Duration Analysis and Immunization, edited by G.G. Kaufman, G.O. Bierwag, and A. Toevs. Greenwich, CT: JAI Press.
5. _. 1984. "A Risk Minimizing Strategy for Portfolio Immunization." Journal of Finance, vol. 39, no. 5 (December):1541-16.
6. Shiller, R.J., and J.H. McCulloch. 1987. "The Term Structure of Interest Rates." Working paper 2341, National Bureau of Economic Research.