Browsing Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 by Subject "duration"
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On Duration-Dispersion Strategies for Portfolio Immunization
(Wydawnictwo Uniwersytetu Łódzkiego, 2004)This paper deals with new immunization strategies for a noncallable and default-free bond portfolio. This approach refers to the Fong and Vasicek (1984), the Nawalkha and Chambers (1996), the Balbàs and Ibáňez (1998), and ...