Immunization using principal component analysis: An immunization strategy based upon historical term structure shifts

Journal of Portfolio Management

Volumn 23, Issue 1, 1996, Pages 99-105

  Barber, Joel R ^a   Copper, Mark L ^a  

^a FLORIDA INTERNATIONAL UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030637490     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.409574     Document Type: Article

References (10)

1. Bierwag, G.O. "Immunization, Duration, and the Term Structure of Interest Rates." Journal of Financil and Quantitative Analysis, Vol. 12 (1977), pp. 725-742.
2. Cooper, I.A. "Asset Values, Interest-Rate Changes, and Duration." Journal of Financial and Quantitative Analysis, Vol. 12 (1977), pp. 701-724.
3. Fisher, L., and R.L. Weil. "Coping with the Risk of Interest Rate Fluctuations." Journal of Business, Vol. 44 (1971), pp. 408-431.
4. Khang, C. "Bond Immunization When Short Rates Fluctuate More than Long-Term Rates." Journal of Financial and Quantitative Analysis, Vol. 14 (1979), pp. 1085-1090.
5. Litterman, R., and J. Scheinkman. "Common Factors Affecting Bond Returns." Journal of Fixed Income, Vol. 1 (1991), pp. 54-61.
6. McCulloch, J.H., and H.C. Kwon. "U.S. Term Structure Data, 1947-1991." Working paper #93-6, Ohio State University, 1993.
7. Redington, F.M. "Review of the Principle of Life Office Valuations." Journal of the Institute of Actuaries, Vol. 78 (1952), pp. 286-340.
8. Reitano, R.R. "Multivariate Duration Analysis." Transactions of the Society of Actuaries, Vol. 43 (1991), pp. 335-376.
9. -. "Non-Parallel Yield Curve Shifts and Immunization." Journal of Portfolio Management, Spring 1992, pp. 36-43.
10. Strang, G. Linear Algebra and Its Applications. New York: Academic Press, 1980.