| 债券的防护型投资策略的随机过程分析 |
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| 引用本文： | 程希骏,徐培新.债券的防护型投资策略的随机过程分析[J].运筹与管理,1998,7(4):34-36. |
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| 作者姓名： | 程希骏 徐培新 |
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| 作者单位： | 中国科学技术大学管理科学系(程希骏)，青岛大学市场系(徐培新) |
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| 摘 要： | 在文献［１］的基础上，对利率为随机过程情况，给出了期度的计算公式，并分析了此时债券的防护型投资策略
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| 关 键 词： | 防护型投资策略 期度 期限结构 |
An Analysis of Passive Strategy of Bond Investment under Stochastic Process of Interest Rate |
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| Cheng,Xijun.An Analysis of Passive Strategy of Bond Investment under Stochastic Process of Interest Rate[J].Operations Research and Management Science,1998,7(4):34-36. |
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| Authors: | Cheng Xijun |
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| Abstract: | In this paper,we present duration formala under stochastic process of interest rate,and make a study of the passive strategy of bond investment. |
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| Keywords: | passive investing strategy duration term structure |
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