Improving interest rate risk hedging strategies through regularization
Daniel Mantilla-Garcia, Lionel Martellini, Vincent Milhau, and Hector Enrique Ramirez-Garrido
| Year of publication: |
2022
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|---|---|
| Authors: | Mantilla-Garcia, Daniel ; Martellini, Lionel ; Milhau, Vincent ; Ramirez-Garrido, Hector Enrique |
| Published in: |
Financial analysts journal : FAJ. - [Abingdon] : Routledge, Taylor and Francis Group, ISSN 1938-3312, ZDB-ID 2066328-6. - Vol. 78.2022, 4, p. 18-36
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| Subject: | interest rate hedging | pension liability-hedging | robust bond portfolio immunization | Zinsrisiko | Interest rate risk | Hedging | Portfolio-Management | Portfolio selection | Anleihe | Bond | Zins | Interest rate | Zinsderivat | Interest rate derivative | Theorie | Theory | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/0015198X.2022.2095193 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013417613