債券組合凸性極大化交易策略之比較
Date Issued
2005
Date
2005
Author(s)
賴威達
DOI
zh-TW
Abstract
Summary
Since 1990s, scholars and financial analysts started to put emphasis on the convexity of bond portfolio. Given other conditions equal, the bond portfolio with greater dollar convexity will perform better than the bond portfolio with less dollar convexity no matter how yield to maturity changes. So under the assumption that the yield curve only moves parallel, Christensen and Sorensen proposed a trading strategy --- sell a bond portfolio with smaller dollar convexity while invest another bond portfolio with same price, same dollar duration and greater dollar convexity. Then whether the yield curve moves upward or downward, the trading strategy will bring better performance than return of original bond portfolio.
But Christensen and Sorensen (1994) pointed out, so long as the change of interest rate obeys any stochastic process, the convexity and time value of the bond will be negative correlated, that means if we take the effect of time value into consideration, bond investors have to face the dilemma of gaining convexity while sacrificing the time value of the coupon payments and the opposite is also true,. Therefore, there does not exist the opportunity to enhance the performance without risk in the real world. But so long as we can find a bond portfolios (not a single bond) having same price, same dollar duration, same dollar theta and greater dollar convexity than the original bond portfolio we have, there are still a possibility to enhance the performance with risk.
Cheng, in 2002, used linear programming to build up a dynamic model finding possibilities to maximize convexity in government bond market under the assumption of yield curve moving horizontally. Wu relaxed the assumption about yield curve in 2003 and improved Cheng’s model by allowing the slope of yield curve changeable.
This paper proposes a new model adopting Nelson and Siegel’s method to construct yield curve and adopting Willner ‘s new definition of duration to derive a convexity maximization trading strategy suitable in most changes of yield curve—the changes in level, slope and cur vature of the shape of yield curve .
Then I compare the performance of traditional models and the new model by scenario tests and historical data tests. And show that the new model indeed can be applied under the real changes of yield curve.
Subjects
債券
殖利率
凸性
convexity
Type
thesis
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