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

• Autorzy: Olbryś J.
• Języki publikacji: EN

Abstrakty

EN

Changes in spot rates, unknown aprriori 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 bounds 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.

Słowa kluczowe

EN

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

PL

wypukłość

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 1999
• Tom: Vol. 28, no 4
• Strony: 789--797
• Opis fizyczny: Bibliogr. 10 poz.,

Twórcy

autor

Olbryś J.

• Institute of Mathematics, University in Białystok, Akademicka 2, PL-15-267 Białystok, Poland,