GENERALIZED SOLUTIONS OF HIGHER-ORDER DURATION MEASURES

被引：1

作者：

NAWALKHA, SK ^{[1
]}

LACEY, NJ ^{[1
]}

机构：

[1] UNIV MASSACHUSETTS,SCH MANAGEMENT,DEPT GEN BUSINESS & FINANCE,AMHERST,MA 01003

来源：

JOURNAL OF BANKING & FINANCE | 1990年 / 14卷 / 06期

关键词：

D O I：

10.1016/0378-4266(90)90005-M

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. © 1990.

引用

页码：1143 / 1150

页数：8

共 50 条

[1] CONTINUITY OF GENERALIZED SOLUTIONS FOR HIGHER-ORDER ELLIPTICAL EQUATIONS
SKRIPNIK, IV
DOPOVIDI AKADEMII NAUK UKRAINSKOI RSR SERIYA A-FIZIKO-MATEMATICHNI TA TECHNICHNI NAUKI, 1973, (01): : 43 - 45
[2] Higher-order solutions for generalized canonical correlation analysis
Kang, Hyuncheol
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2019, 26 (03) : 305 - 313
[3] Higher-order symmetric duality with higher-order generalized invexity
Padhan S.K.
Nahak C.
Journal of Applied Mathematics and Computing, 2015, 48 (1-2) : 407 - 420
[4] LEARNING AND APPLYING GENERALIZED SOLUTIONS USING HIGHER-ORDER RESOLUTION
DONAT, MR
WALLEN, LA
LECTURE NOTES IN COMPUTER SCIENCE, 1988, 310 : 41 - 60
[5] Higher-order macroscopic measures
Rodin, Gregory J.
JOURNAL OF THE MECHANICS AND PHYSICS OF SOLIDS, 2007, 55 (06) : 1103 - 1119
[6] GENERALIZED HIGHER-ORDER DIFFERENTIATION
BARNDORFFNIELSEN, OE
BLAESILD, P
MORA, M
ACTA APPLICANDAE MATHEMATICAE, 1989, 16 (03) : 243 - 259
[7] GENERALIZED QUATERNIONS OF HIGHER-ORDER
IAKIN, IL
FIBONACCI QUARTERLY, 1977, 15 (04): : 343 - 346
[8] Soliton solutions of higher-order generalized derivative nonlinear Schrodinger equation
Bi, Jinbo
Chen, Dengyuan
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2010, 60 (07) : 1881 - 1887
[9] Generalized Higher-Order Algebraic Differential Equations with Admissible Algebroid Solutions
高凌云
NortheasternMathematicalJournal, 2001, (02) : 159 - 168
[10] Quasi-periodic Solutions for a Generalized Higher-Order Boussinesq Equation
Shi, Yanling
Xu, Junxiang
QUALITATIVE THEORY OF DYNAMICAL SYSTEMS, 2023, 22 (04)

← 1 2 3 4 5 →