Chulsoon Khang, A Dynamic Global Portfolio Immunization Strategy in the World of Multiple Interest Rate Changes: A Dynamic Immunization and Minimax Theorem, The Journal of Financial and Quantitative Analysis, Vol. 18, No. 3 (Sep., 1983), pp. 355-363

In an important article in 1971, Fisher and Weil [4] demonstrated that it is possible to immunize a portfolio of default-free coupon bonds against unexpected interest rate changes so that at the end of the planning period the investor will realize at least the return expected at purchase. Immunization may be achieved by constructing a portfolio whose average duration is equal to the length of the investor's planning period. The computation of duration that produces immunization is dependent on the nature of the assumed stochastic interest rate shocks. Fisher and Weil derive the duration that will produce immunization for additive shifts in the yield curve under instantaneous compounding, e.g., g(t) + λ where g(t) is the instantaneous interest rate at time t and λ is a random shift parameter.

G. O. Bierwag, George G. Kaufman, Chulsoon Khang, Duration and Bond Portfolio Analysis: An Overview, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 4, Proceedings of Thirteenth Annual Conference of the Western Finance Association, June 20-26, 1978 (Nov., 1978), pp. 671-681