A Minimizing Risk Strategy for Brazilian Fixed-Income Portfolios
✍ Scribed by Carvalhal, André; Daumas, Simone Paiva
- Book ID
- 127033177
- Publisher
- Haworth Press Inc
- Year
- 2010
- Tongue
- English
- Weight
- 135 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1097-8526
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
This is the first comprehensive textbook for students studying fixed-income securities, and is ideally suited to MBA, MSc and final year undergraduate students in Finance and related topics. The text offers an accessible and detailed account of interest rates and risk management in bond markets. It
This paper develops a minimax immunization strategy for an infinite factor interest rate model. The risk of a portfolio of cash flows is measured as the maximum sensitivity of the portfolio value. The objective is to choose the portfolio whose maximum sensitivity over a set of possible interest rate