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Duration measures, immunization, and utility maximization

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  • Prisman, Eliezer Z.
  • Tian, Yisong

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  • Prisman, Eliezer Z. & Tian, Yisong, 1993. "Duration measures, immunization, and utility maximization," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 689-707, June.
    • Handle: RePEc:eee:jbfina:v:17:y:1993:i:4:p:689-707
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    Cited by:

    1. S. Seshadri & A. Khanna & F. Harche & R. Wyle, 1999. "A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York," Operations Research, INFORMS, vol. 47(3), pages 345-360, June.
    2. Balbas, Alejandro & Ibanez, Alfredo, 1998. "When can you immunize a bond portfolio?," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1571-1595, December.
    3. Chaudron, Raymond F.D.D., 2018. "Bank's interest rate risk and profitability in a prolonged environment of low interest rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 94-104.
    4. Raymond Chaudron, 2016. "Bank profitability and risk taking in a prolonged environment of low interest rates: a study of interest rate risk in the banking book of Dutch banks," DNB Working Papers 526, Netherlands Central Bank, Research Department.
    5. Fooladi, Iraj J. & Roberts, Gordon S. & Skinner, Frank, 1997. "Duration for bonds with default risk," Journal of Banking & Finance, Elsevier, vol. 21(1), pages 1-16, January.

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