Bond portfolios duration and investment term-structure management problem英文文献资料.docVIP

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Bond portfolios duration and investment term-structure management problem英文文献资料.doc

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Bond portfolios duration and investment term-structure management problem英文文献资料

BONDPORTFOLIO’SDURATIONANDINVESTMENT TERM-STRUCTUREMANAGEMENTPROBLEM DAOBAILIU Received30November2004;Revised25April2005;Accepted27April2005 Intheconsideredbondmarket,thereareNzero-couponbondstransactedcontinuously, whichwillmatureatequallyspaceddates.Adurationofbondportfoliosunderstochastic interest rate model is introduced, which provides a measurement for the interest rate risk.Thenweconsideranoptimalbondinvestmentterm-structuremanagementproblem usingthisdurationasaperformanceindex,andwiththeshort-terminterestrateprocess satisfying some stochastic di?erential equation. Under some technique conditions, an optimalbondportfolioprocessisobtained. Copyright?2006DaobaiLiu.Thisisanopenaccessarticle distributed undertheCre- ativeCommons Attribution License, which permits unrestricted use, distribution, and reproductioninanymedium,providedtheoriginalworkisproperlycited. 1.Introduction Recentstudyshowsthatinterestrateriskmanagement isacrucialelementofsuccessin thebankindustry (see[9],etc.).However,itisnotveryeasytoaccurately measurethis risk. Gap analysis (see [23], etc.) is the oldest approach to analyze investment portfolio risk, which was adapted fromakind ofliquidity analysis that scheduled outprojected cash?owsgenerated fromtheportfolio. Combining ?xedmaturities andrepricing dis- tributions inthis manner re?ects atraditional gap report. The gap report seems tobe afairlycompletere?ection ofinterestraterisk,unfortunately, thatisfarfromthecase, especiallyformeasuringtheratesensitiveofembeddedoptionsecurities. The so-called weighted-average lifeissimply ameasure that uses thecash weighted averageofthetimeuntilthetotalcash?owisreceived.Tomakeitclearer,letusconsider asimple illustrative example. Suppose therearetwobonds: the?rst bond will paythe holder$100twoyearslater;thesecondbondwillpaytheholder$50oneyearlaterand $50twoyearslater.Theinvestorcangetthesamesuminthecomingtwoyearsbyholding thesetwobonds.Forthe?rstbond,theholdermustwaittwoyearstoreceivethem