Bibliographic record
Abstract
A variety of approaches have been proposed to extend classical fixed income portfolio immunization theory to cases where shifts in the term structure are not parallel. Following Reitano (1991a, 1991b, 1992, 1996) and Poitras (2007), this paper uses partial durations and convexities to specify benchmark partial immunization bounds for non-parallel term structure shifts. Theoretical results are obtained by exploiting properties of the multivariate Taylor series expansion of the spot interest rate pricing function. It is demonstrated that the partial immunization bounds can be effectively manipulated by adequate selection of the securities being used to immunize the portfolio. The inclusion of time values permits the results obtained to be related to previous studies by Christensen and Sorensen (1994), Chance and Jordan (1996), Barber and Copper (1997) and Poitras (2005, Ch. 5) on the time value-convexity tradeoff.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.004 | 0.018 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.002 |
| Scholarly communication | 0.002 | 0.004 |
| Open science | 0.001 | 0.003 |
| Research integrity | 0.001 | 0.002 |
| Insufficient payload (model declined to judge) | 0.006 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".