Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091637 | Journal of Banking & Finance | 2006 | 24 Pages |
Abstract
In this paper, we evaluate the relative immunization performance of the M-vector proposed by Nawalkha and Chambers (1997) [Nawalkha, S.K., Chambers, D.R., 1997. The M-vector model: derivation and testing of extensions to M-squared. The Journal of Portfolio Management 23, 92-98], using data for the Portuguese government debt market. Empirical results show that: (i) immunization models (single- and multi-factor) remove most of the interest rate risk underlying a more naïve maturity strategy; (ii) duration-matching portfolios constrained to include the maturity bond and formed using a single-factor model provide the best immunization performance overall, particularly in highly volatile term structure environments and shorter holding periods; (iii) varying the rebalancing frequency and the investment horizon shows that these results are less robust for Portugal than for other countries.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jorge Miguel Ventura Bravo, Carlos Manuel Pereira da Silva,