Is bond convexity a free lunch? Immunization does not imply risk-free arbitrage profits. Article

Barber, JR, Copper, ML. (1997). Is bond convexity a free lunch? Immunization does not imply risk-free arbitrage profits. . JOURNAL OF PORTFOLIO MANAGEMENT, 24(1), 113-&. 10.3905/jpm.1997.113

keywords

  • Business & Economics
  • Business, Finance
  • CONTINGENT CLAIMS
  • DURATION
  • INTEREST-RATES
  • RETURNS
  • STRATEGIES
  • Social Sciences
  • TERM STRUCTURE

Digital Object Identifier (DOI)

publisher

  • INSTITUTIONAL INVESTOR INC

start page

  • 113

end page

  • &

volume

  • 24

issue

  • 1