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- W3080170497 abstract "This chapter first focuses on the bond strategies of riding the yield curve and structuring the maturity of the bond portfolio in order to generate additional return. This is followed by a discussion of swapping, which are essentially interest-rate swaps. Next is an analysis of duration or the measure of the portfolio sensitivity to changes in interest rates with and without convexity, after which immunization is the focus. The convexity is essentially discussed in nonlinear relationship between bond price and duration. Finally, a case study is presented of bond-portfolio management in the context of portfolio theory. Overall, this chapter presents how interest rate changes affect bond price and how maturity and duration can be used to manage portfolios." @default.
- W3080170497 created "2020-09-01" @default.
- W3080170497 creator A5036033545 @default.
- W3080170497 date "2020-08-21" @default.
- W3080170497 modified "2023-09-23" @default.
- W3080170497 title "Bond Portfolio Management, Swap Strategy, Duration, and Convexity" @default.
- W3080170497 doi "https://doi.org/10.1142/9789811202391_0088" @default.
- W3080170497 hasPublicationYear "2020" @default.
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