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Lower Bounds on Portfolio Performance: An Extension of the Immunization Strategy

Published online by Cambridge University Press:  06 April 2009

William J. Marshall  and
Jess B. Yawitz
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Extract

The concept of immunization is currently one of the most widely discussed innovations in bond portfolio management. The interest in immunization, which allows one to nearly guarantee a minimum return performance over a specified investment horizon, is due in large measure to the desire on the part of bond managers to reduce the risk which has accompanied the recent swings in interest rates.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 1 , March 1982 , pp. 101 - 113
Copyright
Copyright © School of Business Administration, University of Washington 1982

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References

REFERENCES

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