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Randall S. Hillerand Christian Schaack, A Classification of Structured Bond Portfolio Modeling
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Frank J. Fabozzi, Bond Markets, Analysis and Strategies (Englewood Cliffs, NJ: Prentice
Hall, 1993), in particular Chapters 20-22.

17.     ,      -
    , .  :

Martin L. Leibowitz and William S. Krasker, The Persistence of Risk: Stocks Versus Bonds
Over the Long Term, Financial Analysts Journal, 44, no. 6 (November/December 1988),
pp. 40-47.
Paul A. Samuelson, The Judgment of Economic Science on Rational Portfolio Management:

Indexing, Timing and Long-Horizon Effects, Journal of Portfolio Management, 16, no. 1
(Fall 1989), pp. 4-12.

Martin L. Leibowitz and Terence C. Langetieg, Shortfall Risk and the Asset Allocation
Decision: A Simulation Analysis of Stock and Bond Profiles, Journal of Portfolio Management,

16. no. 1 (Fall 1989), pp. 61-68.

Keith P. Ambachtscheer, The Persistence of Investment Risk, Journal of Portfolio

Management, 16, no. 1 (Fall 1989), pp. 69-71.

Kirt C. Butler and Dale L. Domian, Risk, Diversification, and the Investment Horizon,

Journal of Portfolio Management, 17, no. 3 (Spring 1991), pp. 41-47.

18.      :

Martin L. Leibowitz, Total Portfolio Duration: A New Perspective on Asset Allocation,
Financial Analysts Journal, 42, no. 5 (September/October 1986), pp. 18-29, 77.
Martin L. Leibowitz and Roy D. Henriksson, Portfolio Optimization Within an Surplus
Framework, Financial Analysts Journal, 44, no. 2 (March/April 1988), pp. 4351.
William F. Sharpe, Liabilities - A New Approach, Journal of Portfolio Management, 16,
no. 2 (Winter 1990), pp. 4-10.

19.       :

Eric . Chang and J. Michael Pinegar, Return Seasonality and Tax-Loss Selling in the
Market for Long-Term Government and Corporate Bonds, Journal of Financial Economics,

17. no. 2 (December 1986), pp. 391-415.

Eric C. Chang and Roger D. Huang, Time-Varying Return and Risk in the Corporate

Bond Market, Journal of Financial and Quantitative Analysis, 25, no. 3 (September

1990), pp. 323-340.

Susan D. Jordan and Bradford D. Jordan, Seasonality in Daily Bond Returns, Journal of

Financial and Quantitative Analysis, 26, no. 2 (June 1991), pp. 269285.