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On the Fisher-Weil immunization theorem · Study

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ArticleOn the Fisher-Weil immunization theorem

Elias S. W. Shiu1987

Article1987

On the Fisher-Weil immunization theorem

Elias S. W. Shiu

40 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1985A Theory of the Term Structure of Interest Rates 1939Value and Capital 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’2016Handbook of Fixed‐Income Securities 1952Review of the Principles of Life-office Valuations 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*1940The Structure of Interest Rates 1979Duration and the Measurement of Basis Risk

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1998When can you immunize a bond portfolio?1991A note on Shiu—Fisher—Weil immunization theorem

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Details

Year1987

Typearticle

Published1987-11-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations40

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0167-6687(87)90030-8

openalex_workW2019192588

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