Dispersion measures as immunization risk measures

Journal of Banking and Finance

Volumn 26, Issue 6, 2002, Pages 1229-1244

  Balbás, Alejandro ^a   Ibáñez, Alfredo ^b   López, Susana ^a  

^a DEPARTMENT OF BUSINESS ADMINISTRATION   (Spain)

^b INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

Author keywords

Dispersion measures; Immunization risk measures; Linear measure; Maturity matching bonds; Twists on the term structure

Indexed keywords

EID: 0036235916     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(01)00168-6     Document Type: Article

References (18)

1. Maximum potential change of a portfolio
2. When can you immunize a bond portfolio?
3. A minimax risk strategy for portfolio immunization
4. Generalizing interest rate duration with directional derivatives: Direction X and applications
5. Immunization, duration, and the term structure of interest rates
6. Designing an immunized portfolio is M-square the key?
7. Duration, bond pricing and portfolio management
8. Immunizing default-free bond portfolios with a duration vector
9. Duration, convexity and time as components of bond returns
10. Duration and the measurement of basis risk
11. Coping with the risk of interest rate fluctuations: Returns to bondholders from naive and optimal strategies
12. A risk minimizing strategy for portfolio immunization
13. Global yield curve event risks
14. Convexity, risk and returns
15. Common factors affecting bond returns
16. Optimization by Vector Space Methods
17. A two-factor model for interest rate risk management
18. Duration measures for specific term structure estimations and applications to bond portfolio immunization