Sleep Well Despite Turbulent Markets? The Immunization Property of the Duration

Ralf Korn () and Bernd Luderer ()
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Ralf Korn: TU Kaiserslautern
Bernd Luderer: TU Chemnitz

Chapter 33 in Money and Mathematics, 2021, pp 125-127 from Springer

Abstract: Abstract A frequently used risk measure is duration. This quantity has several interesting features such as the immunization property.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-658-34677-5_33

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DOI: 10.1007/978-3-658-34677-5_33

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