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Continuous Maturity Diversification of Default-Free Bond Portfolios and a Generalization of Efficient Diversification

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  • Heaney, W John
  • Cheng, Pao L

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  • Heaney, W John & Cheng, Pao L, 1984. "Continuous Maturity Diversification of Default-Free Bond Portfolios and a Generalization of Efficient Diversification," Journal of Finance, American Finance Association, vol. 39(4), pages 1101-1117, September.
    • Handle: RePEc:bla:jfinan:v:39:y:1984:i:4:p:1101-17
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    Cited by:

    1. Roncoroni, Andrea & Galluccio, Stefano & Guiotto, Paolo, 2010. "Shape factors and cross-sectional risk," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2320-2340, November.
    2. Vladislav Kargin, 2002. "On Bond Portfolio Management," Papers math/0208130, arXiv.org, revised Mar 2003.
    3. Vladislav Kargin, 2003. "Portfolio Management for a Random Field of Bond Returns," Finance 0310007, University Library of Munich, Germany.
    4. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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