Extensions for Macaulay Duration, Modified Duration, and Further Study on Immunization Strategy
Authors
Yuhang Dai1, *, †, Kejun Guo2, †, Zikai Jin3, †, Yuxin Wu4, †
1Zhongshan No.1 Middle School, No.68, Xingwen Road, Zhongshan, Guangdong Province, People’s Republic of China
2Ulink in Shanghai, No.559, Laiting South Road, Songjiang District, Shanghai, People’s Republic of China
3No.1 Middle School of Jiangyin, No.88 Changjiang Road, Jiangyin, Wuxi, Jiangsu Province, People’s Republic of China
4Dulwich International High School Suzhou, No. 360, Gangtian Road, Suzhou Industrial Park, Suzhou, Jiangsu Province, 215000, People’s Republic of China
†
These authors contributed equally.
*Corresponding author. E-mail addresses: guanghua.ren@gecacademy.cn
Corresponding Author
Yuhang Dai
Available Online 26 March 2022.
- DOI
- 10.2991/aebmr.k.220307.092How to use a DOI?
- Keywords
- Bond; Macaulay duration; Modified duration; Immunization
- Abstract
This article introduces these contents in detail about Macaulay duration, Modified duration, and immunization strategy. The article is based on Macaulay Duration to study the relevant information of the financial market. This study takes two different information of the bond. Immunization needs to be determined according to the actual situation. For example, it is necessary to immunize bonds according to the real condition rather than rely entirely on the theory to operate by studying the limitation of immunization. This work would help the investors to better establish the portfolio.
- Copyright
- © 2022 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Yuhang Dai AU - Kejun Guo AU - Zikai Jin AU - Yuxin Wu PY - 2022 DA - 2022/03/26 TI - Extensions for Macaulay Duration, Modified Duration, and Further Study on Immunization Strategy BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 571 EP - 575 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.092 DO - 10.2991/aebmr.k.220307.092 ID - Dai2022 ER -