caa a22 4500 386308993 CHVBK 20180307111538.0 cr unu---uuuuu 161130e198803 xx s 000 0 eng 10.2307/2331026 doi S0022109000012941 pii (NATIONALLICENCE)cambridge-10.2307/2331026 Immunizing Default-Free Bond Portfolios with a Duration Vector [Elektronische Daten] Dissatisfaction occasionally has been expressed with traditional measures of duration for immunization on conceptual grounds. However, more elegant duration measures have not been found to be superior to the traditional ones in empirical tests of immunization efficacy. Under the assumption that the term structure of continuously compounded interest rates can be expressed as a polynomial, Chambers and Carleton (1981) demonstrate that the finite and noninstantaneous return of a default-free bond can be expressed as a vector product of a duration vector and a shift vector. This study derives immunization strategies from the model and tests them. The results of the portfolio tests indicate that the traditional duration approach of Macaulay provides enhanced immunization relative to maturity approaches or naive approaches. However, the duration vector approach produces further improvements. Copyright © School of Business Administration, University of Washington 1988 Chambers Donald R. Carleton Willard T. McEnally Richard W. Journal of Financial and Quantitative Analysis Cambridge University Press 23/1(1988-03), 89-104 0022-1090 23:1<89 1988 23 JFQ https://doi.org/10.2307/2331026 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331026 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chambers Donald R. NATIONALLICENCE 700 1- Carleton Willard T. NATIONALLICENCE 700 1- McEnally Richard W. NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/1(1988-03), 89-104 0022-1090 23:1<89 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge