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Języki publikacji
Abstrakty
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.
Czasopismo
Rocznik
Tom
Strony
789--797
Opis fizyczny
Bibliogr. 10 poz.,
Twórcy
autor
- Institute of Mathematics, University in Białystok, Akademicka 2, PL-15-267 Białystok, Poland, olbrys@math.uwb.edu.pl
Bibliografia
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-article-BAT2-0001-1188