Balbás, Alejandro; Ibáñez, Alfredo; Romera, Rosario - Departamento de Economía de la Empresa, Universidad … - 2002
This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one period no-arbitrage approach of Financial Economics (Ingersoll (1987)). Under quite weak assumptions on the interest rate behavior several shadow riskless assets are introduced by means of...