Parametric Immunization in Bond Portfolio Management
In this paper, we evaluate the relative immunization performance of the multifactor parametric interest rate risk model based on the Nelson-Siegel-Svensson specification of the yield curve with that of standard benchmark investment strategies, using European Central Bank yield curve data in the peri...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2013
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| Texto completo: | http://hdl.handle.net/10174/7345 |
| País: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/7345 |