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

Zambruno, G. (2008). Some Refinements on Fixed-Income Performance Attribution. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 185(3), 1574-1577 [10.1016/j.ejor.2006.08.026].

Some Refinements on Fixed-Income Performance Attribution

ZAMBRUNO, GIOVANNI
2008

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
Articolo in rivista - Articolo scientifico
Scientifica
Performance Attribution,Bond Pricing, Duration
English
1574
1577
The original publication is available at: http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VCT-4M4CN26-2&_user=2459739&_rdoc=1&_fmt=&_orig=search&_sort=d&view=c&_acct=C000057318&_version=1&_urlVersion=0&_userid=2459739&md5=10c4c1c2335713993fc90265c5c0bcd1
Zambruno, G. (2008). Some Refinements on Fixed-Income Performance Attribution. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 185(3), 1574-1577 [10.1016/j.ejor.2006.08.026].
Zambruno, G
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/5314
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