Duration Strategy for Bond Investment Based on an Empirical Study
- 10.2991/assehr.k.211209.278How to use a DOI?
- duration; immunization strategy; bond
The duration is also known as the Macaulay duration. It takes the cash flow occurring in the future time to fold the present value according to the current rate of return, and then multiplies each present value by the number of years from the time when the cash flow occurs, and then sums it up. The duration is calculated by dividing the sum by the discounted sum of the bond’s cash flows. In general, it is the weighted average of the time required for the bond’s cash flows to be paid. We calculated the sum of the duration of the bonds. For example, the first bond has a duration of four years and the second bond has a duration of 1.96 years. By calculating the duration, we can help investors better know when to receive the money receivable. And immunization is a strategy that helps to reduce the impact of interest rate fluctuation. In this paper, we have studied the methods of calculating duration and how to use the knowledge of duration and the immunization strategy to hedge the risk.
- © 2021 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 - Junming Nie AU - Zhihao Wu AU - Shiyao Wang AU - Ye Chen PY - 2021 DA - 2021/12/15 TI - Duration Strategy for Bond Investment Based on an Empirical Study BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 1726 EP - 1730 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.278 DO - 10.2991/assehr.k.211209.278 ID - Nie2021 ER -