Управление пакетом облигаций                                     485

G.O. Bierwag, George G. Kaufman, Robert Schweitzer, andAlden Toevs, «The Art of Risk
Management in Bond Portfolios», Journal of Portfolio Management, 1 no. 2 (Spring 1981),
pp. 27-36.

Gerald 0. Bierwag, Duration Analysis (Cambridge, MA: Ballinger Publishing, 1987),
Chapter 12.

Donald R. Chambers, Willard T. Carleton, and Richard W. McEnally, «Immunizing Default-
Free Bond Protfolios with a Duration Vector», Journal of Financial and Quantitative Analysis,
23, no. 1 (March 1988), pp. 89-104.

Iraj Fooladi and Gordon S. Roberts, «Bond Portfolio Immunization», Journal of Economics
and Business, 44, no. 1 (February 1992), pp. 3—17.

8. Некоторые интересные статьи по вопросу взаимосвязи между средним сроком и
выпуклостью см. в работах:

Mark L. Dunetz and James M. Mahoney, «Using Duration and Convexity in the Analysis

of Callable Bonds», Financial Analysts Journal, 44, no. 3 (May/June 1988), pp. 53-72.

Bruce J. Grantier, «Convexity and Bond Portfolio Performance: The Benter the Better»,

Financial Analysts Journal, 44, no. 6 (November/December 1988), pp. 79—81.

Jacques A. Schnabel, «Is Benter Better: A Cautionary Note on Maximizing Convexity»,

Financial Analysis Journal, 46, no. 1 (January/February 1990), pp. 78-79.

Robert Brooks and Miles Livingston, «Relative Impact of Duration and Convexity on

Bond Price Changes», Financial Practice and Education, 2, no. 1 (Spring/Summer 1992),

pp. 93-99.

Mark Kritzman, «...About Duration and Convexity», Financial Analysts Journal, 48, no. 6

(November/December 1992), pp. 17-20.

Gerald 0. Bierwag, Iraj Fooladi, and Gordon S. Roberts, Designing an Immunized Portfolio:

Is M-Squared the Key?» Journal of Banking and Finance, 17, no. 6 (December 1993),
pp. 1147-1170.

9. Некоторые исследования, критически оценивающие использование понятий сред-
него срока, выпуклости функции и иммунизации, упоминаются в примечании 18.
Другие критические исследования включают:

Jonathan E. Ingersoll, Jr., Jeffrey Skelton, and Roman L. Weil, «Duration Forty Years Later»,
Journal of Financial and Quantitative Analysis, 13, no. 4 (November 1977), pp. 627-650.
Ronald N. Kahn and Roland Lochoff, «Convexity and Exceptional Return», Journal of
Portfolio Management, 16, no. 2 (Winter 1990), pp. 43-47.
Antti Ilmanen, «How Well Does Duration Measure Interest Rate Risk?», Journal of Fixed
Income, 1, no. 4 (March 1992), pp. 43-51.

10. Обсуждение вопроса об использовании в иммунизированном портфеле облигаций,
не свободных от риска непогашения, см. в работах:

Gordon J. Alexander and Bruce G. Resnick, «Using Linear and Goal Programming to
Immunize Bond Portfolios», Journal of Banking and Finance, 9, no. 1 (March 1985),
pp. 35-54.

G.O. Bierwag and George G. Kaufman, «Durations ofNondefault-Free Securities», Financial
Analysts Journal, 44, no. 4 (July/Augast 1988), pp. 39-46, 62.

Gerald 0. Bierwag, Charles J. Corrado, and George G. Kaufman, «Computing Durations for
Bond Portfolios», Journal of Portfolio Management, 17, no. 1 (Fall 1990), pp. 51-55.
Gerald 0. Bierwag, Charles J. Corrado, and George G. Kaufman, «Durations for Portfolios
of Bonds Priced on Different Term Structures», Journal of Banking and Finance, 16, no. 4
(August 1992), pp. 705-714.