haku: @author Carleton, W. T. / yhteensä: 9
viite: 2 / 9
| Tekijä: | Chambers, D. R. Carleton, W. T. McEnally, R. W. |
| Otsikko: | Immunizing default-free bond portfolios with a duration vector. |
| Lehti: | Journal of Financial and Quantitative Analysis
1988 : MAR, VOL. 23:1, p. 89-104 |
| Asiasana: | BONDS PORTFOLIO MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | An empirical exploration of the potential for improved immunization /the protection of the nominal value of a portfolio against interest rate changes/, using the alternative, multiple factor duration model. Review of immunization, duration refinements, the duration vector approach, the Chambers and Carleton vector approach, empirical use of the model, single period and multiperiod strategies, the sample selection and period of study, alternative maturity management strategies, a portfolio construction criterion and results. Six Tables illustrate the study. |
SCIMA