Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal of Risk Finance 10 (2009) March, pp. 169-178
Purpose – The purpose of this paper is to present an innovative model that helps create a portfolio of m-fixed-income securities, each with the optimal weight, in order for the portfolio to be d- and ?-hedged against small changes in interest rates. Re-balancing a portfolio on a periodic basis...