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Keywords: Duration Vector
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Journal Articles
Convexity Analysis of Option Embedded Bonds
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2004) 12 (1): 23–49.
Published: 30 May 2004
... movement may incur unexpected large loss for a bond portfolio manager. Hence an interest rate risk hedge strategy which could be effective under various types of term structure movements has been strongly needed by bond portfolio managers. Duration vector strategies have been developed to satisfy...
