Access the full text.
Sign up today, get DeepDyve free for 14 days.
G. Bierwag (1978)
MEASURES OF DURATIONEconomic Inquiry, 16
C. Khang (1979)
Bond Immunization When Short-Term Interest Rates Fluctuate More Than Long-Term RatesJournal of Financial and Quantitative Analysis, 14
G. Bierwag, G. Kaufman (1977)
Coping with the Risk of Interest-Rate Fluctuations: A NoteThe Journal of Business, 50
J. Cox, J. Ingersoll, S. Ross (1979)
Duration and the Measurement of Basis RiskThe Journal of Business, 52
O. Bierwag (2009)
OF FINANCIAL AND QUANTITATIVE ANALYSIS December 1977 IMMUNIZATION , DURATION , AND THE TERM STRUCTURE OF INTEREST RATES
Bierwag (1977)
Immunization, Duration, and the Term Structure of Interest RatesJournal of Financial and Quantitative Analysis, 12
L. Fisher, R. Weil (1971)
Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal StrategiesThe Journal of Business, 44
Khang Khang (1979)
“Bond Immunization When Short Rates Fluctuate More Than Long Rates.”Journal of Financial and Quantitative Analysis, 14
ABSTRACT Consider a fixed‐income portfolio whose duration is equal to the length of a given investment horizon. It is shown that there is a lower limit on the change in the end‐of‐horizon value of the portfolio resulting from any given change in the structure of interest rates. This lower limit is the product of two terms, of which one is a function of the interest rate change only, and the other depends only on the structure of the portfolio. Consequently, this second term provides a measure of immunization risk. If this measure is minimized, the exposure of the portfolio to any interest rate change is the lowest.
The Journal of Finance – Wiley
Published: Dec 1, 1984
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.