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- W4387492700 abstract "This study takes a comprehensive and unified approach to investigating the yield curve. Specifically, we begin from scratch with the derivation of a formula for the yield curve within the state-preference framework assuming that the short rate is subject to multiple sources of disturbance, then we explore in detail whether the formula can generate yield curves with different shapes similar to those observed in practice, and finally, by Monte Carlo simulation, we examine the performance (in terms of annualized returns) of four popular fixed-income strategies. Our study shows that the formula can generate yield curves with a wide variety of shapes, including the three typical shapes, fairly representative of those observed in actual financial market. In particular, our simulation results provide strong evidence that returns from a strategy are highly positively related to the degree to which the strategy takes advantage of the characteristics of the yield curve." @default.
- W4387492700 created "2023-10-11" @default.
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- W4387492700 date "2023-10-01" @default.
- W4387492700 modified "2023-10-12" @default.
- W4387492700 title "On the yield curve and the performance of some popular fixed-income strategies" @default.
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- W4387492700 doi "https://doi.org/10.1016/j.eswa.2023.122037" @default.
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