- 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