Рекомендуемая литература

1. Существует много критериев эффективности на рынке облигаций. Некоторые из них упомянуты в примечаниях 1-9, другие упоминаются в работе:

Frank J. Fabozzi and Т. Dessa Fabozzi, Bond Markets, Analysis and Strategies (Englewood Cliffs, NJ: Prentice Hall, 1989), pp. 300-303. В гл. 4 также подробно обсуждаются понятия выпуклости функции и среднего срока.

2. См. книгу, в которой обсуждаются понятия выпуклости, среднего срока и многие связанные с ними стратегии инвестирования:

Gerald О. Bierwag, Duration Analysis (Cambridge, MA: Ballinger Publishing, 1987).

3. Метод измерения выпуклости функции содержится в работе:

Robert Brooks and Miles Livingston, A Closed-Form Equation for Bond Convexity*, Financial Analysts Journal, 45, no. 6 (November/December 1989), pp. 78-79.

4. Понятие среднего срока или его использование для измерения процентного риска первоначально было предложено в работах:

Frederic R. Macauley, Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the United States Since 1856 (New York: National Bureau of Economic Research, 1983).

J.R. Hicks, Value and Capital, 2d ed. (Oxford, England: Clarendon Press, 1946); первое издание опубликовано в 1939 г.

Michael Н. Hopewell and George G. Kaufman, Bond Price Volatility and Term to Maturity: A Generalized Respecification , American Economic Rewiew, 63, no. 4 (September 1973), pp. 4749-4753.

5. Интересные статьи, описывающие развитие понятия среднего срока (а также иммунизации) см.:

Roman L. Weil, Macaulevs Duration: An Appreciation*, Journal of Business, 46, no. 4 (October 1973), pp. 589-592.

Frank K. Reilly and Rupinder S. Sidhu, The Many Uses of Bond Duration*, Financial Analysts Journal, 36, no. 4 (July/August 1980), pp. 58-72.

G.O. Bierwag, George G. Kaufman, and Alden Toevs, Duration: Its Development and Use in Bond Portfolio Management*, Financial Analysts Journal, 39, no. 4 (July/August 1980), pp. 15-35.

6. Альтернативные методы расчета среднего срока см. в работах:

Jess Н. Chua, А Generalized Formula for Calculating Bond Duration*, Financial Analysts Journal, 44, no. 5 (September/October 1988), pp. 65-67.

Sanjay K. Nawalkha and Nelson J. Lacey, Closed-Form Solutions of Higher-Order Duration Measures*, Financial Analysts Journal, 44, no. 6 (November/December 1988), pp. 82-84.

7. О первых разработках понятия иммунизации и последующих разработках соответствующих критериев см. в работах:

F.M. Redington, Reviewofthe Principles of Life-Office Valuations*, Journal of the Institute of Actuaries, 78, no. 3 (1952), pp. 286-315.

Lawrence Fisher and Roman L. Weil, Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies , Journal of Business, 44, no. 4 (October 1971), pp. 408-431.

G.O. Bierwag and George G. Kaufman, Coping with the Risk of Interest-Rate Fluctuations: A Note , Journal of Business, 50, no. 3 (July 1977), pp. 364-370. Charles H. Gushee, How to Immunize a Bond Investment*, Financial Analysts Journal, 37, no. 2 (March/April 1981), pp. 44-51.

CO. Bierwag, George G. Kaufman, Robert Schweitzer, and Alden Toevs, The Art of Risk Management in Bond Portfolios*, Journal of Portfolio Management, 7 no. 2 (Spring 1981), pp. 27-36.

Gerald O. Bierwag, Duration Analysis (Cambridge, MA: Ballinger Publishing, 1987), Chapter 12.

Donald R. Chambers, Willard T. Carleton, and Richard W. McEnally, Immunizing Default-Free Bond Protfolios with a Duration Vector*, Journal of Financial and Quantitative Analysis, 23, no. 1 (March 1988), pp. 89-104.

Iraj Fooladi and Gordon S. Roberts, Bond Portfolio Immunization*, Journal of Economics and Business, 44, по. 1 (February 1992), pp. 3-17.

8. Некоторые интересные статьи по вопросу взаимосвязи между средним сроком и выпуклостью см.:

Mark L. Dunetz and James M. Mahoney, Using Duration and Convexity in the Analysis of Callable Bonds*, Financial Analysts Journal, 44, no. 3 (May/June 1988), pp. 53-72. Bruce J. Grantier, Convexity and Bond Portfolio Performance: The Benter the Better*, Financial Analysts Journal, 44, no. 6 (November/December 1988), pp. 79-81. Jacques A. Schnabel, Is Benter Better: A Cautionary Note on Maximizing Convexity*, Financial Analysts Journal, 46, no. 1 (January/February 1990), pp. 78-79. Robert Brooks and Miles Livingston, Relative Impact of Duration and Convexity on Bond Price Changes*, Financial Practice and Education, 2, no. 1 (Spring/Summer 1992), pp. 93-99.

Mark Kritzman, ...About Duration and Convexity*, Financial Analysts Journal, 48, no. 6 (November/December 1992), pp. 17-20.

Gerald O. Bierwag, lraj Fooladi, and Gordon S. Roberts, Designing an Immunized Portfolio: Is M-Squared the Key?* Journal of Banking and Finance, 17, no. 6 (December 1993), pp. 1147-1170.

9. Некоторые исследования, критически оценивающие использование понятий среднего срока, выпуклости функции и иммунизации, упоминаются в примечании 18. Другие критические исследования включают:

Jonathan Е. Ingersoll, Jr., Jeffrey Skelton, and Roman L. Weil, Duration Forty Years Later*, Journal of Financial and Quantitative Analysis, 13, no. 4 (November 1977), pp. 627-650. Ronald N. Kahn and Roland Lochoff, Convexity and Exceptional Return*, Journal of Portfolio Management, 16, no. 2 (Winter 1990), pp. 43-47.

Antti Ilmanen, How Well Does Duration Measure Interest Rate Risk?*, Journal of Fixed Income, 1, no. 4 (March 1992), pp. 43-51.

10. Обсуждение вопроса об использовании в иммунизированном портфеле облигаций, не свободных от риска непогашения, см. в работах:

Gordon J. Alexander and Bruce G. Resnick, Using Linear and Goal Programming to Immunize Bond Portfolios*, Journal of Banking and Finance, 9, no. 1 (March 1985), pp. 35-54.

G.O. Bierwag and George G. Kaufman, Durations of Nondefault-Free Securities*, Financial Analysts Journal, 44, no. 4 (July/Augast 1988), pp. 39-46, 62.

Gerald O. Bierwag, Charles J. Corrado, and George G. Kaufman, Computing Durations for Bond Portfolios*, Journal of Portfolio Management, 17, no. 1 (Fall 1990), pp. 51-55. Gerald O. Bierwag, Charles J. Corrado, and George G. Kaufman, Durations for Portfolios of Bonds Priced on Different Term Structures*, Journal of Banking and Finance, 16, no. 4 (August 1992), pp. 705-714.

11. Эффект риска досрочного отзыва с точки зрения среднего срока (и иммунизации) рассмотрен в работе:

Kurt Winkelmann, Uses and Abuses of Duration and Convexity , Financial Analysts Journal, 45, no. 5 (September/October 1989), pp. 72-75.

12. Обсуждение вопроса об использовании среднего срока для оценки риска, связанного с иностранными облигациями, см.:

Steven I. Dym, Measuring the Risk of Foreign Bonds , Journal of Portfolio Management, 17, no. 2 (Winter 1991), pp. 56-61.

Steven Dym, Global and Local Components of Foreign Bond Risk , Financial Analysts Journal, 48, no. 2 (March/April 1992), pp. 83-91.

13. Портфели связанных облигаций и условная иммунизация рассмотрены в работах:

Martin L. Leibowitz and Alfred Weinberger, Contingent Immunization-Part I: Risk Control Procedures*, Financial Analysts Journal, 38, no. 6 (November/December 1982), pp. 17-31.

Martin L. Leibowitz and Alfred Weinberger, Contingent Immunization-Part II: Problem Areas , Financial Analysts Journal, 39, no. 1 (January/February 1983), pp. 39-50. Martin L. Leibowitz, The Dedicated Bond Portfolio in Pension Funds-Part I: Motivations and Basics , Financial Analysts Journal, 42, no. 1 (January/February 1986), pp. 69-75. Martin L. Leibowitz, The Dedicated Bond Portfolio in Pension Funds-Part II: Immunization, Horizon Matching, and Contingent Procedures*, Financial Analysts Journal, 42, no. 2 (March/April 1986), pp. 47-57.

14. Анализ горизонта и облигационного свопа см. в работах:

Sidney Homer and Martin L. Leibowitz, Inside the Yield Book (Englewood Cliffs, NJ: Prentice Hall, 1972), Chapters 6-7.

Martin L. Leibowitz, Horizon Analysis for Managed Bond Portfolios*, Journal of Portfolio Management, 1, no. 3 (Spring 1975), pp. 23-34.

Martin L. Leibowitz, An Analytic Approach to the Bond Market*, in Financial Analysts Handbook, ed. Sumner N. Levine (Homewood, IL: Dow Jones-Irwin, 1975), pp. 226-277. Marcia Stigum and Frank J. Fabozzi, The Dow Jones-Irwin Guide to Bond and Money Market Investments (Homewood, IL: Dow Jones-Irwin, 1987), Chapter 16.

15. Различные стратегии кривых доходности рассмотрены в работах:

Jerome S. Osteryoung, Gordon S. Roberts, and Daniel E. McCarty, Ride the Yield Curve When Investing Idle Funds in Treasury Bills? , Financial Executiver, 47, no. 4 (April 1979), pp. 10-15.

Edward A. Dyl and Michael D. Joehnk, Riding the Yield Curve: Does It Work? Journal of Portfolio Management, 7 , no. 3 (Spring 1981), pp. 13-17.

Marcia Stigum and Frank J. Fabozzi, The Dow Jones-Irwin Guide to Bond and Money Market Investments (Homewood, IL: Dow Jones-Irwin, 1987), pp. 270-272. Frank J. Jones, Yield Curve Strategies*, Journal of Fixed Income, 1, no. 2 (September 1991), pp. 43-51.

Robin Grieves and Alan J. Marcus, Riding the Yield Curve: Reprise*, Journal of Portfolio Management, 18, no. 4 (Summer 1992), pp. 67-76.

16. Стратегии вложений в облигации анализируются также в работах:

Ehud I. Ronn, А New Linear Programming Approach to Bond Portfolio Management*, Journal of Financial and Quantitative Analysis, 22, no. 4 (December 1987), pp. 439-466. Michael C. Ehrhardt, A New Linear Programming Approach to Bond Portfolio Management: A Comment*, Journal of Financial and Quantitative Analysis, 24, no. 4 (December 1989), pp. 533-537.