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Keywords: Management
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2010) 11 (4): 377–400.
Published: 17 August 2010
... the conditions for a delta‐hedged portfolio of bonds and MSR under an investor's or a portfolio manager's value constraint K. The share α of the MSR's value and the share β of the bond's value had to be such that a zero‐delta portfolio that satisfies the constant value of the portfolio...
