On influence of the Taylor series remainder on unanticipated rates of return on fixed income bond portfolios

被引：0

作者：

Olbrys, J ^{[1
]}

机构：

[1] Univ Bialystok, Inst Math, PL-15267 Bialystok, Poland

来源：

CONTROL AND CYBERNETICS | 1999年 / 28卷 / 04期

关键词：

fixed income bonds; bond portfolios; rate of return; Taylor series; duration; convexity;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Changes in spot rates, unknown appriori 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 bonds 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.

引用

页码：789 / 797

页数：9