Generalized solutions of higher-order duration measures
Higher-order duration measures have been shown to permit near perfect immunization. This paper presents formulae for these measures which are valid not only at coupon payment dates but between these dates as well We show that errors caused by using formulae valid only at the coupon payment dates inc...
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| Veröffentlicht in: | Journal of banking & finance 1990-12, Vol.14 (6), p.1143-1150 |
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| container_title | Journal of banking & finance |
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| creator | Nawalkha, Sanjay K. Lacey, Nelson J. |
| description | Higher-order duration measures have been shown to permit near perfect immunization. This paper presents formulae for these measures which are valid not only at coupon payment dates but between these dates as well We show that errors caused by using formulae valid only at the coupon payment dates increase as one advances from lower-order to higher-order duration measures. A portfolio immunization example comparing both traditional and generalized closed-form solutions is given. |
| doi_str_mv | 10.1016/0378-4266(90)90005-M |
| format | Article |
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| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 1990-12, Vol.14 (6), p.1143-1150 |
| issn | 0378-4266 1872-6372 |
| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals Complete; Periodicals Index Online |
| subjects | Bond portfolios Bond rating Capital market Comparative studies Economic models Economic theory Immunization Portfolio management Statistical analysis Stock exchange speculation Yield to maturity |
| title | Generalized solutions of higher-order duration measures |
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