Immunization derived from a polynomial duration vector in the Spanish bond market

Common Factors Affecting Bond Returns

Robert B. Litterman, José Scheinkman · The Journal of Fixed Income · 1991 · 1.9K citations

Term Structure Model, Financial Economics, Business +2

Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies

Lawrence Fisher, Roman L. Weil · The Journal of Business · 1971 · 273 citations

Empirical Finance, Interest-rate Fluctuations, Economics +12

A Risk Minimizing Strategy for Portfolio Immunization

H. Gifford Fong, Oldrich A Vasicek · The Journal of Finance · 1984 · 170 citations

Financial Risk Management, Interest Rate Risk, Immunology +20

Key Rate Durations

Thomas S.Y. Ho · The Journal of Fixed Income · 1992 · 162 citations

Timing Analysis, Key Rate Durations, Temporal Complexity +1

Immunizing Default-Free Bond Portfolios with a Duration Vector

Donald R. Chambers, Willard T. Carleton, Richard W. McEnally · Journal of Financial and Quantitative Analysis · 1988 · 124 citations

Vaccination, Duration Vector, Immunization Efficacy +9