[問題] 關於Dollar Duration
一本書上對於Dollar Duration定義是:
A measure of the change in portfolio value for a 100bps change in market
yields.It is defined as:
Dollar Duration = Duration * Portfolio value * 0.01
之後他就寫:
A portfolio's dollar duration is a "weighted average" of the dollar durations
of the component securities
以上出自Managing investment portfolios,3rd edition, page 351
Here comes a problem,為什麼投資組合的DD要把每個小項目的DD做加權平均呢?
DD根據定義就是指portfolio價值的絕對變化量,並不像Duration那樣是百分比的變化
就像如果h(x)=f(x)+g(x),那麼 h'(x)=f'(x)+g'(x),又不會等於 (f'*f+g'*g)/(f+g)
我覺得算portfolio的DD就跟求h的微分一樣,直接把component的DD加起來就好QQ
然後之後的example算出來的答案就跟他差了3倍QQ,因為portfolio是3個bondXD
而且用心算就覺得我的答案比較正常.......
各位版友覺得呢?
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