Convexity Maximization of Bond Portfolio
碩士 === 國立臺灣大學 === 財務金融學研究所 === 91 === A fundamental property of a bond is that its price changes in the opposite direction from the change in the required yield. When there are large movements in the required yield, duration is not adequate to approximate the price reaction. Duration will overestima...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97762672618936644312 |