
- UID
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- 注册时间
- 2011-7-2
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- 2015-11-28
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Simple duration based rebalancing does not cover the effect of market price changes on the portfolio risk . Dollar duration which measures the PVBP gives us the effect of moving to a different point-in-time to current prices. Duration is , after all , a forward looking estimate while the portfolio value ( based on current prices) , is a present value term. The two in combination gives you a measure of risk of prices and duration both changing at the same time. |
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