Immunization using a stochastic-process independent multi-factor model: The Portuguese experience

Journal of Banking and Finance

Volumn 30, Issue 1, 2006, Pages 133-156

  Ventura Bravo, Jorge Miguel ^a   Pereira da Silva, Carlos Manuel ^b  

^a UNIVERSITY OF ÉVORA   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

Author keywords

Duration; Fixed income; Immunization; Interest rate; Risk management

Indexed keywords

EID: 32144435748     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.01.006     Document Type: Article

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