Temat: bond portfolios - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Determination of continuous shifts in the term structure of interest rates against which a bond portfolio is immunized
Autorzy:: Zaremba, L. S.
Rządkowski, G.
Powiązania:: https://bibliotekanauki.pl/articles/206147.pdf
Data publikacji:: 2016
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: immunization
bond portfolios
Lagrange function
Opis:: In this paper we identify those shifts (continuous functions) of the term structure of interest rates, against which a given bond portfolio (BP) is immunized. The set of such shifts (IMMU) happens to be an (m − 1)-dimensional linear subspace in an m-dimensional linear space of all admissible shifts. In the proof we use triangular (Lagrange) functions, by means of which we build a base for IMMU. How this IMMU space varies in response to changes in the cash ﬂow generated by bond portfolio, BP, is also discussed in the last section of the paper.
Źródło:: Control and Cybernetics; 2016, 45, 4; 525-537
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: On influenece of the Taylor series remainder on unanticipated rates of return on fixed income bond portfolios
Autorzy:: Olbryś, J.
Powiązania:: https://bibliotekanauki.pl/articles/206662.pdf
Data publikacji:: 1999
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: wypukłość
bond portfolios
convexity
duration
fixed income bonds
rate of return
Taylor series
Opis:: Changes in spot rates, unknown aprriori to investors, induce unanticipated rates of return on all financial market instruments. In this paper we introduce and investigate a concept of the rest of a bond. The concept is related to the Taylor series remainder and gives a better approximation to an unanticipated rate of return of fixed income bonds and bond portfolios. It is shown that the rest of the portfolio composed of fixed income bounds is a convex combination of the rests of these bonds. A stronger version of the theorem on rates of return on fixed income bond portfolios is given.
Źródło:: Control and Cybernetics; 1999, 28, 4; 789-797
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Informacja