A minimax risk strategy for portfolio immunization

Insurance: Mathematics and Economics

Volumn 23, Issue 2, 1998, Pages 173-177

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

^a FLORIDA INTERNATIONAL UNIVERSITY   (United States)

^b WAYNE STATE UNIVERSITY   (United States)

Author keywords

Duration; Immunization; Minimax; Term structure of interests rates

Indexed keywords

EID: 0032583010     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00028-6     Document Type: Article

References (22)

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