Macaulay durations for nonparallel shifts
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DOI: 10.1007/s10479-006-0115-7
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References listed on IDEAS
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- Zheng, H. & Thomas, L.C. & Allen, D.E., 2001. "The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management," Papers 01-176, University of Southampton - Department of Accounting and Management Science.
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Cited by:
- Zaremba Leszek, 2017. "Does Macaulay Duration Provide The Most Cost-Effective Immunization Method – A Theoretical Approach," Foundations of Management, Sciendo, vol. 9(1), pages 99-110, February.
- Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
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Keywords
Macaulay duration; Non-parallel shifts; Immunization; Linear programming;All these keywords.
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