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

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