THE M-VECTOR MODEL - DERIVATION AND TESTING OF EXTENSIONS TO M-SQUARE

Authors
NAWALKHA SK CHAMBERS DR
Citation
Sk. Nawalkha et Dr. Chambers, THE M-VECTOR MODEL - DERIVATION AND TESTING OF EXTENSIONS TO M-SQUARE, Journal of portfolio management, 23(2), 1997, pp. 92
Citations number
16
Journal title
Journal of portfolio management → ACNP
ISSN journal
00954918
Volume
23
Issue
2
Year of publication
1997
Database
ISI
SICI code
0095-4918(1997)23:2<92:TMM-DA>2.0.ZU;2-M
Abstract
In this article, the authors derive and test multiple-factor extension s to the M-square immunization model. Using term structure data from 1 951-1987, the M-vector model is shown co provide near perfect hedging performance by removing more than 95% of the interest rate risk remain ing in the traditional duration model.