An approach to scenario hedging: Using principal components analysis

Journal of Portfolio Management

Volumn 24, Issue 2, 1998, Pages 83-92

  Hill, Charles F ^a   Vaysman, Simon ^b  

^a YMG Capital Management Inc   (Canada)

^b Canadian Imperial Bank of Commerce   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038903669     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.24.2.83     Document Type: Article

References (4)

1. Barber, Joel R. "A Note on Approximating Bond Price Sensitivity Using Duration and Convexity." Journal of Fixed Income, March 1995, pp. 95-98.
2. Barrett, W. Brian, Thomas F. Gosnell, Jr., and Andrea J. Heuson. "Yield Curve Shifts and the Selection of Immunization Strategies." Journal of Fixed Income, September 1995, pp. 53-64.
3. Kahn, Ronald N., and Deepak Gulrajani. "Risk and Return in the Canadian Bond Market." Journal of Portfolio Management, Spring 1993, pp. 86-93.
4. Reitano, Robert R. "Non-Parallel Yield Curve Shifts and Stochastic Immunization." Journal of Portfolio Management, Winter 1996, pp. 71-78.