标题: SS9 - Fixed Income Reading [打印本页] 作者: rkapoor 时间: 2013-4-1 14:05 标题: SS9 - Fixed Income Reading
Page 41 ” the standard deviation of the expected target return can be approximated by the product of three terms:
1) the immunization risk measure,
2) the standard deviation of the variance of the one-period change in the slope of the yield curve,and
3) an expression that is a function of the horizon length only.”
Can anyone explain to me what are they talking about here specially 1)?作者: stockjaguar 时间: 2013-4-1 14:06
[P40]: the immunization risk measure M2 is…maturity variance.
