| Reference: | 一、中文部份
1. 陳舜萍 「我國債券市場之現況與檢討」 證券市場發展季刊 80年4 月 23-38 頁。
2. 吳俊雄 「我國債券市場發展現況與展望」 中信通訊 80年3 月 29-33頁。
3. 林炯垚 「債券現值到期年限之意義及其在我國債券市場之應用」 台灣證券 79年4 月 11-37頁。
4. 朱懷祖 「利率變動下之債券投資組合接作」 台海證券 78年4 月 24-38頁。
5. 陳得源 「我國債券市場之檢討與改進」 中央銀行季刊 79年6 月3 5-51頁。
6. 鄭君祥 「債券與票券一安全、獲利的投資途徑」 經濟與生活出版公司 78年7 月。
7. 陳隆麒編譯 「現代財務管理」 華泰書局 77 年8 月。
8. 鍾碩薇 「投資組合管理」 產業金融 80 年3 月 51-71 頁。
二、英文部分
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2. Bierwag,G.O. (1987a) "Duration Analysis Managing Interest Rate Risk." Cambridge MA :Ballinger Publishing CO.
3. Bierwag,G.O. (1987b) "Bond Returns, Discrete Stochastic Processes, and Duration." Journal of financial Research (Automn), pp-191~208.
4. Bierwag,G.O.,Kaufman,G.G.,and Khang,C. (1978) "Duration and Bond Portfolio Analysis :An Overview." Journal of Financial and Quantitative Analysis (Nov.), pp671-681.
5. Bierwag, G. O. , Kaufman, G. G. , and Toevs, A. (1982) "Single Factor Duration Models in a Discrete General Equilibrium Framwork." Journal of finance (May), pp325-338.
6. Bierwag,G.O. ,Kaufman,G.G. ,and Toevs,A. (1983) "Recent Development in Bond Portfolio Immunization Strategies." In Innovations in Bond Portfolio Management. pp105-157.
7. Bierwag,G.O.,Kaufman,G.G.,and Toevs,A. (1983) "Duration: Its Development and Use in Bond Portfolio Management." Financial Analysts Journal. (Ju ly / August), pp3-23.
8. Bierwag,G.O.,Kaufman,G.G.,and Toevs,A.,and Schweitzer,R. (1981) "The Art of Risk Management in Bond Portfolios." Journal of Portfolio Management. (Spring), pp27-36.
9. Brennan,M.J. ,and Schwartz, E.S. (1983) "Duration, Bond Pricing, and Portfolio Management." In Innovations in Bond Portfolio Management, pp3-36.
10. Chambers,D.R., Carleton,W.T., and McEnally,R.W. (1988) "Immunizing Default-Free Bond Portfolios with a Duration Vector." Journal of Financial and Quantitative Analysis (Mar.), pp89-104.
11. Christensen,P.E., and Fabozzi,F.J. (1991) "Bond Immunization: An Asset Liability Optimization Strategy " In The Handbook of Fixed Income Securities, ed. by Fabozzi,F.J., and Pollock, I.H. 3rd edition. Homewood, Illoinois: Dow Jones- Irwin, pp912-941.
12. Cox,J.C.,Ingersoll,J.E.,and Ross,S.A. (1979),"Duration and the Measurement of Basis Risk."Journal of Business. (Jan.), pp5l-61.
13. Culbertson,J. (1957) " The Term Structure of Interest Rate." Quarterly Journal of Economics,pp485-517.
14. Douglas,L.G. (1988) " Yield Curve Analysis."New York Institute of Finance.
15. Fabozzi,F.J. (1987) "Bond Yield Measures and Price Volatility Properties." In The Handbook of Fixed Income Securities, pp50-85.
16. Fabozzi,F.J .. and Fabozzi,T.D. (1989) "Bond Markets Analysis and Strategies." Prentice Hall Englewood Cliffs.
17. Fabozzi,F.J.,Pitts.M,and Dattatreya,R.E.(1991) "Price Volatility Characteristic of Fixed Income Securities." In The Handbook of Fixed Income Securities, ed. by Fabozzi,F.J.,and Pollock,I.M. 3rd edition.Homewood, Illinois: Dow Jones - Irwin, pp116-140.
18. Fisher, I. (1986) " Appreciation and Interest."Publication of the American Economic Association.(Aug), pp23-29.
19. Fisher,L.,and `Weil,R. (1971) " Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naive and Optiomal Srtategies." Journal of Bus i ness. (Oct.), pp408-431.
20. Fong,H.G. (1991) "Portfolio Construction: Fixed Income." In Managing Investment Portfolios – A Dynamic Process,. ed. by Maggin and Tuttle.
21. Hicks,J.R. (1946) "Value and Capital." 2nd ed.Oxford, New York.
22. Ingersoll, J.E. (1983) "Is Immunization Feasible?Evidence from the CRSP Data." In Innovations In Bond Portfolio Management, ppI63-182.
23. Ingersoll, J.E.,Skelton,J.,and liIeil,R.L. (1978)"Duration Forty Years Later." Journal of Financial and Quantitative Analysis (Nov.), pp627-650.
24. Khang,C. (1979) "Bond Immunization when Sort-Term Rates Fluctuate More than Long-Term Rates. "Journal of Financial and Quantitative Analysis . (Dec.), pp1085-1095.
25. Kopprasch,R.W. (1987) "Understanding Duration and Volatility." In The Handbook of Fixed Income Securities, pp86-120.
26. Lutz,F.A. (1940) " The Term Structure of Interest Rate. " Ouarterly Journal of Economics. (Nov.),pp36-63.
27. Halkiel, B.P. (1966) ~ The Term Structure of Interest Rate." Princeton.
28. Nelson, J, and Schaefer,S. (1983) " The Dynamics of Term Structure and Alternative Portfolio Immunization Strategies:" In Innovations in Bond Portfolio Management, pp239-265.
29. HcEnally,R.W., and Jordan,J.V. (1991) " The Term Structure of Interest Rate." In The Handbook of Fixed Income Securities.
30. Radcliffe,R.C. (1987) " Investment – Concept.Analysis, and Strategy." Scott, Foresman and Company, 2nd ed.
31. Schaefer,S. (1984) " Immunization and Duration : A Review of Theory, Performance and Application."Midland Corporate Financial Journal,2, pp41-58.
32. Weingertner,Martin. (1966) "The Generalized Rate of Return." Journal of Financial and Quantitative Analysis (Jan.), pp1-29. |
