A RISK MINIMIZING STRATEGY FOR PORTFOLIO IMMUNIZATION

被引：63

作者：

FONG, HG

VASICEK, OA

机构：

来源：

关键词：

D O I：

10.2307/2327743

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1541 / 1546

页数：6

共 7 条

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[2] COPING WITH RISK OF INTEREST-RATE FLUCTUATIONS [J].

BIERWAG, GO ;

KAUFMAN, GG .

[3]

BIERWAG GO, 1978, EC INQUIRY OCT, P497

[4]

BRENNAN MJ, 1981, 793 U BRIT COL WORK

[5] DURATION AND THE MEASUREMENT OF BASIS RISK [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

FISHER, L ;

WEIL, RL .

KHANG, C .