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
โฆ LIBER โฆ
Strategy in pharmaceutical R&D: a portfolio risk matrix
โ Scribed by J. H. Taggart; T. J. Blaxter
- Book ID
- 110998985
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 1011 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0033-6807
No coin nor oath required. For personal study only.
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