Bond portfolio immunization: Canadian tests

Article Abstract:

Research indicates that duration models are effective in hedging or immunizing default- and option-free Government of Canada securities against interest rate risk. Data from the Bank of Canada Statistical Review and Bank of Canada Review, which consisted of monthly bond prices and rates of return from Jan 1963 to Aug 1986, were tested utilizing Fisher-Weil duration measures. The tests showed that duration-matching strategies performed better in reducing interest rates risk than the technique of matching bond maturity to the length of the planning period.

Management, Canada, Interest rates, Credit market, Credit markets

---

Optimal portfolio selection without short sales under the full-information covariance structure: a pedagogic consideration

Article Abstract:

An analysis of optimal portfolio selection is presented. The analysis focuses on the optimality of a securities portfolio under the absence of short sales and with full-information covariance structure. The Markowitz critical line algorithm is applied to the case of Lintner tangency portfolios. It is shown that the approach is feasible and implementable on microcomputer spreadsheets.

Analysis, Investment analysis, Securities analysis

---

Does corruption increase emerging market bond spreads?

Article Abstract:

The economic impact of perceived political corruption upon emerging market bond issue prices is discussed.

Marketing procedures, World, Economic aspects, Marketing, Bonds, Bonds (Securities), Political corruption, Company marketing practices, Emerging markets

Similar abstracts:

• Abstracts: Tests of inflation and industry portfolio stock returns. The long-run relationship between inflation and output in postwar economics
• Abstracts: Gender differences in overeducation: a test of the theory of differential overqualification. The State of Development Theory
• Abstracts: Competitive manufacturing: combining total quality with advanced technology. Energy Cost Saving Starts on the Shop Floor
• Abstracts: Uninsurable shocks and international income convergence. Statistical inference and decomposable poverty measures
• Abstracts: Economic geography and the political economy of regionalization: the example of Western Europe

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.