Lower Bounds on Portfolio Performance: An Extension of the Immunization Strategy

William J. Marshall and Jess B. Yawitz

Journal of Financial and Quantitative Analysis, 1982, vol. 17, issue 1, 101-113

Abstract: The concept of immunization is currently one of the most widely discussed innovations in bond portfolio management. The interest in immunization, which allows one to nearly guarantee a minimum return performance over a specified investment horizon, is due in large measure to the desire on the part of bond managers to reduce the risk which has accompanied the recent swings in interest rates.

Date: 1982
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