摘要
本文给出了广义久期模型 ,并证明了参数变化对久期影响的结论。这些分析有助于基金经理们对期限结构影响的认识 。
In this paper, we present a duration vector model,and our analysis enables managers to understand the effects of term structure. The results help managers in their portfolio selection as they respond to interest rate changes.
出处
《运筹与管理》
CSCD
2002年第2期92-94,共3页
Operations Research and Management Science
