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  • Multivariate Duration Analysis
    Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced ... 1991, Vol. 43. Analytics and informatics;Asset valuation;Discount rates=Interest rates;Yield curve=Term ...

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    • Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
    • Date: Oct 1991
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Transactions of the SOA
    • Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling