Hedging interest rate risk using simple, covariance-adjusted and volatility-adjusted immunization strategies : Japanese government bonds : April 1989 to December 2000

• Main Authors: Lim, Ming Siang, Wee, Hans Hang Leong, Poh, Leong Poh
• Other Authors: Kang, Joseph Choong Seok
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Fixed income::Bonds
• Online Access: http://hdl.handle.net/10356/11590
• Institution: Nanyang Technological University

Assessing the relative performances between simple, covariance-adjusted and volatility-adjusted immunization strategies on a portfolio consisting of Japanese Government Bonds. The data collected for the Japanese Government Bonds cover the period between April 1989 and December 2000.