Decomposing Long Bond Returns: A Decentralized Theory

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Publication:6164059

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DOI10.1093/rof/rfac053zbMath1519.91270MaRDI QIDQ6164059

Peter Carr, Liuren Wu

Publication date: 30 June 2023

Published in: Review of Finance (Search for Journal in Brave)

zbMATH Keywords

convexity duration expectation risk premium bond return decomposition butterfly trades carry effect local commonality yield decomposition

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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