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Immunization, Duration, and the Term Structure of Interest Rates

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References

1939Value and Capital2,893 cited
1961The Desirability of Price Instability Under Perfect Competition577 cited
2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*305 cited
1975INFLATION AND SECURITY RETURNS*265 cited

Cited by

1984A Risk Minimizing Strategy for Portfolio Immunization170 cited
1979Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates82 cited
1977Asset Values, Interest-Rate Changes, and Duration76 cited
1996Immunization Using Principal Component Analysis74 cited
1988Duration measures for specific term structure estimations and applications to bond portfolio immunization69 cited
1978Immunization under stochastic models of the term structure68 cited
1984Tax Effects in Term Structure Estimation59 cited
1978Duration and Bond Portfolio Analysis: An Overview54 cited
1979An Immunization Strategy is a Minimax Strategy53 cited
1984Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests52 cited
2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience

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44 cited

1983Immunization Strategies for Funding Multiple Liabilities44 cited

1998When can you immunize a bond portfolio?40 cited

1981Recent Developments in Management Science in Banking33 cited

1988Duration analysis: Managing interest rate risk31 cited

2013On the mortality/longevity risk hedging with mortality immunization30 cited