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Foundations of Management
Volume 9 (2017): Issue 1 (February 2017)
Open Access
Does Macaulay Duration Provide The Most Cost-Effective Immunization Method – A Theoretical Approach
Leszek Zaremba
Leszek Zaremba
| Mar 22, 2017
Foundations of Management
Volume 9 (2017): Issue 1 (February 2017)
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Published Online:
Mar 22, 2017
Page range:
99 - 110
DOI:
https://doi.org/10.1515/fman-2017-0008
Keywords
barbell strategy
,
convexity
,
dedicated duration
,
Macaulay duration
,
unanticipated rate of return
© Faculty of Management, Warsaw University of Technology
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Leszek Zaremba
Academy of Finance and Business Vistula, Institute of Finance,
Warsaw, Poland