The duration derby: a comparison of duration based strategies in asset liability management - researchr publication authors

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H. Zheng, L. C. Thomas, D. E. Allen. The duration derby: a comparison of duration based strategies in asset liability management. In 41st IEEE Conference on Decision and Control, CDC 2002, Las Vegas, NV, USA, December 10-13, 2002. pages 769-774, IEEE, 2002. [doi]

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