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BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES
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BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES (1987)BOND PORTFOLIO IMMUNIZATION: TESTS OF MAT…Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Immunizing Default-Free Bond …Innovations in bond portfolio management : duration analysis and immunization (1983)Innovations in bond portfolio…Duration: Its Development and Use in Bond Portfolio Management (1983)Duration: Its Development and…Immunization using a stochastic-process independent multi-factor model: The Portuguese experience (2005)Immunization using a stochast…Generalized M-vector models for hedging interest rate risk (2003)Generalized M-vector models f…Hedging against interest rate risk: Reconsidering volatility-adjusted immunization (1997)Hedging against interest rate…Default Risk and the Effective Duration of Bonds (1997)Default Risk and the Effectiv…Convexity, Risk, and Returns (1993)Convexity, Risk, and ReturnsBond portfolio immunization: Canadian tests (1992)Bond portfolio immunization: …BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATION (1987)BOND RETURNS, DISCRETE STOCHA…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)The Effect of Transaction Size on Off-the-Run Treasury Prices (2004)The bond event study methodology since 1974 (2016)Sustainability premium in energy bonds (2021)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Parsimonious Modeling of Yield Curves (1987)Common Factors Affecting Bond Returns (1991)The effects of default and call risk on bond duration (2009)Previsões de mortalidade e de esperança de vida mediante combinação Bayesiana de modelos: Uma aplicação à população portuguesa (2020)Forecasting the Retirement Age: A Bayesian Model Ensemble Approach (2021)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)A continuous time approach to the pricing of bonds (1979)Immunization derived from a polynomial duration vector in the Spanish bond market (2001)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Value and Capital (1939)Duration and the Measurement of Basis Risk (1979)Review of the Principles of Life-office Valuations (1952)Duration measures for specific term structure estimations and applications to bond portfolio immunization (1988)Optimal portfolio choice under a liability constraint (2000)Yield Curve Modeling and Forecasting (2013)From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)THE TAX‐ADJUSTED YIELD CURVE (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Uncertainty and the timing of an urban congestion relief investment. (2006)Measuring the Term Structure of Interest Rates (1971)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Term premiums in bond returns (1984)Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument (1985)Regulatory Capture and the Monetary Contraction of 1932: A Comment on Epstein and Ferguson (1991)Duration, Convexity, and Time Value (1994)The Structure of Spot Rates and Immunization (1990)Designing an immunized portfolio: Is M-squared the key? (1993)
this work references cited by second hop

References

  • 1988Immunizing Default-Free Bond Portfolios with a Duration Vector122 cited
  • 1983Duration: Its Development and Use in Bond Portfolio Management97 cited
  • 1983Innovations in bond portfolio management : duration analysis and immunization83 cited

Cited by

  • 2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience44 cited
  • 1997Default Risk and the Effective Duration of Bonds44 cited
  • 2003Generalized M-vector models for hedging interest rate risk37 cited
  • 1992Bond portfolio immunization: Canadian tests32 cited
  • 1993Convexity, Risk, and Returns30 cited
  • 1987BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATION28 cited
  • 1997Hedging against interest rate risk: Reconsidering volatility-adjusted immunization18 cited

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