Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA)
Simões, C, Oliveira, L. & Bravo, J. (2018). Multi Liability Immunization with the M-Absolute Model: an Approach to the 21st Century U.S. Bond Market. 10th Portuguese Finance Network Conference.
Exportar Referência (IEEE)
C. Simões et al.,  "Multi Liability Immunization with the M-Absolute Model: an Approach to the 21st Century U.S. Bond Market", in 10th Portuguese Finance Network Conf., 2018
Exportar BibTeX
@misc{simões2018_1711719925480,
	author = "Simões, C and Oliveira, L. and Bravo, J.",
	title = "Multi Liability Immunization with the M-Absolute Model: an Approach to the 21st Century U.S. Bond Market",
	year = "2018",
	url = "http://pfn18.iscte-iul.pt/"
}
Exportar RIS
TY  - CPAPER
TI  - Multi Liability Immunization with the M-Absolute Model: an Approach to the 21st Century U.S. Bond Market
T2  - 10th Portuguese Finance Network Conference
AU  - Simões, C
AU  - Oliveira, L.
AU  - Bravo, J.
PY  - 2018
UR  - http://pfn18.iscte-iul.pt/
AB  - We present an empirical study where the M-Absolute strategy is applied in a multiple liability immunization setting, where yearly liabilities increase with inflation. We use real data from U.S. TIPS and U.S. Treasuries between 2000 and 2017 to test what is the best bond dataset to apply to this end. We conclude that U.S. TIPS surpasses U.S. Treasuries, corroborating previous empirical research that states that the asset portfolio's structure should resemble the liability profile in order to achieve the best immunization results.
ER  -