Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
481666 | European Journal of Operational Research | 2008 | 4 Pages |
Abstract
In this paper we analyze how innovations in the term structure cause unexpected variations in the returns of fixed-income securities, and suggest a measure of these effects, which is essentially a generalization of the concept of duration. This measure is particularly suitable in performance attribution of fixed-income portfolios, since it enhances excess returns deriving from adjustments in forward rates, and leaves space for contributions caused by market frictions.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
G.M. Zambruno,