不完全信息转递下美元国债期货投资路径与久期对冲方法研究

On Methods Study of U.S. Treasury Bond Futures Investment Path and Duration Hedge under Incomplete Information Transfer

本文基于2013年诺贝尔经济学奖得主法玛的有效市场为基础,解析当面对不完全信息条件下国债的投资策略,并以此逻辑线索线进行分析,在不完全信息条件下可以完成通过寻找美元债券定价差价来增加收益,从而在避免利率波动的同时被动提高债券投资组合的收益率。本文最后就如何正确对待债券定价提出了合理化建议。

In this paper, based on the winner of the 2013 Nobel Prize in Economics, Eugene F. Fama＇ s Efficient Market Hypothesis, we analyze the treasuries investment strategy under the condition of incomplete information, and make further analyses according to this logic clue. Under the condition of incomplete information, to find the pricing differences of dollar bonds can increase the revenue, so as to avoid the volatility of interest rates as well as to passively improve the yield rate of the bond investment portfolios. In the end, we put forward some reasonable suggestions on how to correctly handle the bond pricing.