Some improvements in calculation and use of bond duration (CROSBI ID 487322)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Aljinović, Zdravka ; Babić, Zoran
engleski
Some improvements in calculation and use of bond duration
This paper develops the basic well-known Macaulay duration concept. It plays a very important role in bond portfolio immunisation. Immunisation strategies, which are closely related to the concept of duration given in this paper, are also analised. The main issues in the paper are illustrated by numerical example.
bond duration; immunisation
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Podaci o prilogu
23-29-x.
2001.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of the 8th international Conference on Operational Research
Hunjak, Tihomir ; Scitovski, Rudolf
Osijek: Mathematical Communications
Podaci o skupu
Conference on Operational Research KOI
predavanje
01.01.2001-01.01.2001
Rovinj, Hrvatska