Bajo, Emanuele; Barbi, Massimiliano; Hillier, David - In: Applied Economics 45 (2013) 19, pp. 2697-2704
Duration is widely used by fixed income managers to proxy the interest rate risk of their assets and liabilities. However, it is well known that the convexity of the price-yield relationship introduces approximation errors that grow with changes in yield. In this article we suggest a new...