On the Fisher-Weil immunization theorem
This paper extends the classical immunization theorem of \textit{L. Fisher} and \textit{R. L. Weil} [J. Business 44, 408-431 (1971)] to the general case where the interest rate shocks are functions of time. It also examines some related results derived recently by \textit{H. G. Fong} and \textit{O. Vasicek} [e.g. Finance 39, 1541-1546 (1984)] and discusses duration drift and portfolio rebalancing.
scientific article; zbMATH DE number 4030792