Does Macaulay Duration Provide The Most Cost-Effective Immunization Method – A Theoretical Approach
In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and when the Macaulay duration concept happens to be a good approximation of a bond’s price sensitivity. We are concerned with the basic immunization problem with a single liability to be discharged at a fu...
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| Format: | Article |
| Language: | English |
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Sciendo
2017-02-01
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| Series: | Foundations of Management |
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| Online Access: | https://doi.org/10.1515/fman-2017-0008 |