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Coping with the Risk of Interest-Rate Fluctuations: A Note
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Coping with the Risk of Interest-Rate Fluctuations: A Note (1977)Coping with the Risk of Interest-Rate Flu…A New Stochastic Duration Based on the Vasicek and CIR Term Structure Theories (2000)A New Stochastic Duration Bas…The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis (1998)The Effects of Securitization…Returns and Risks of U.S. Bank Foreign Currency Activities (1986)Returns and Risks of U.S. Ban…Bond portfolio immunization (1985)Bond portfolio immunizationHedging Interest Rate Risk with Futures Portfolios under Term Structure Effects (1984)Hedging Interest Rate Risk wi…DURATION, PLANNING PERIOD, AND TESTS OF THE CAPITAL ASSET PRICING MODEL (1980)DURATION, PLANNING PERIOD, AN…An Immunization Strategy is a Minimax Strategy (1979)An Immunization Strategy is a…MEASURES OF DURATION (1978)MEASURES OF DURATIONCoping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Immunization, Duration, and the Term Structure of Interest Rates (1977)Financial risk and financial risk management technology (RMT) (1993)Risk factor analysis and portfolio immunization in the corporate bond market (2003)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Value and Capital (1939)A continuous time approach to the pricing of bonds (1979)The Hedging Performance of the New Futures Markets (1979)Cross‐Hedging: Basis Risk and Choice of the Optimal Hedging Vehicle (1991)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Capital Market Equilibrium with Restricted Borrowing (1972)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Safety First and the Holding of Assets (1952)Mutual Fund Performance (1966)The foreign exchange exposure of Chinese banks (2009)Exchange rate risk and the equity performance of financial intermediaries (2012)What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis (2014)From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)The Tradeoff between Return and Risk in Immunized Portfolios (1983)Immunization as a maxmin strategy (1986)Stochastic Investment Modelling: The Case of South Africa (1996)Bond Price Volatility and Term to Maturity: A Generalized Respecification (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Shadow Banking System and its Legal Origins (2012)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Capital market equilibrium in a mean-lower partial moment framework (1977)The arbitrage theory of capital asset pricing (1976)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)
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Cited by

  • 1998The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis69 cited
  • 1979An Immunization Strategy is a Minimax Strategy53 cited
  • 1986Returns and Risks of U.S. Bank Foreign Currency Activities49 cited
  • 1984Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects29 cited
  • 1978MEASURES OF DURATION29 cited
  • 2000A New Stochastic Duration Based on the Vasicek and CIR Term Structure Theories23 cited
  • 1985Bond portfolio immunization21 cited
  • 1980DURATION, PLANNING PERIOD, AND TESTS OF THE CAPITAL ASSET PRICING MODEL20 cited

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