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Non-Parallel Yield Curve Shifts and Immunization · Study

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ArticleNon-Parallel Yield Curve Shifts and Immunization

Robert R. Reitano1992

Article1992

Non-Parallel Yield Curve Shifts and Immunization

Robert R. Reitano

65 citations·0/0 files stored·The Journal of Portfolio Management

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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1974On "Duration" and the Optimal Maturity Structure of the Balance Sheet

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1997Interest Rate Risk Management 2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience 2001Immunization derived from a polynomial duration vector in the Spanish bond market 2003Duration models and IRR management: A question of dimensions?2018A regression and comparative study of United States and South African yield curves using principal component analysis

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1982THE ROLE OF THE PAYBACK PERIOD IN THE THEORY AND APPLICATION OF DURATION TO CAPITAL BUDGETINGarticle · 1 shared reference 1978Duration and Bond Portfolio Analysis: An Overviewarticle · 1 shared reference 1979An Immunization Strategy is a Minimax Strategyarticle · 1 shared reference 2018Bank's interest rate risk and profitability in a prolonged environment of low interest ratesarticle · 1 shared reference 1997Duration for bonds with default riskarticle · 1 shared reference 1988Duration analysis: Managing interest rate riskother · 1 shared reference

Details

Year1992

Typearticle

Published1992-04-30

VenueThe Journal of Portfolio Management

ISSN-L0095-4918

Languageen

Citations65

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.3905/jpm.1992.409410

openalex_workW2134474756

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