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

Olbryś J.

Control and Cybernetics

1999

Vol. 28, no 4

789-797

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.