Ari B. Friedman
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 Aug 14 comment How many explanatory variables is too many? This is a good start, but ultimately it's still in-sample. If what you're interested in is prediction, it's hard to beat actually predicting out-of-sample and seeing how good it gets. Since you don't care about the coefficients just the results, avoiding multicollinearity isn't really the answer here. Aug 13 answered How many explanatory variables is too many? Aug 11 awarded Self-Learner Aug 10 answered What data sources are available online? Aug 10 awarded Scholar Aug 10 accepted Closed-form formula for approximate maximum duration of a bond? Aug 10 awarded Teacher Aug 10 comment Modified Durations of Different Noncallable Bonds and function of Maturity The horizontal asymptote will always be at duration=(1 + 1/i) where i is the current market interest rate expressed in proportion terms (e.g. i=.05 for a 5% rate). Aug 10 comment Modified Durations of Different Noncallable Bonds and function of Maturity See the answers to this question about how to calculate the maximum duration for some more references and graphs: quant.stackexchange.com/questions/1624/… Aug 10 revised Closed-form formula for approximate maximum duration of a bond? added 7 characters in body Aug 10 revised Closed-form formula for approximate maximum duration of a bond? solution Aug 9 revised Closed-form formula for approximate maximum duration of a bond? added 9 characters in body Aug 9 comment Closed-form formula for approximate maximum duration of a bond? Thanks for this. I'm still sorting through all this, but in re-reading both the Pianca paper and the Hawawini paper I am starting to realize that my previous lack of progress on this issue results from my assumption that the closed-form formulae for duration were approximations. By contrast, Pianca seems to use them as though they are exact. I'll have to work through the derivations and figure out whether they are, in fact, exact. If so, I can likely avoid the whole iterative algorithm and just go directly from maturity to duration. Aug 9 awarded Editor Aug 9 revised Closed-form formula for approximate maximum duration of a bond? added 1 characters in body Aug 9 comment Closed-form formula for approximate maximum duration of a bond? These aren't actual bonds. This is portfolio generation, which is why working backwards is required. The idea is that you given that you already have a collection of (n-1) bonds in a portfolio with duration d and a target portfolio duration D, what is the maturity of the $n^{th}$ bond you should purchase to move the new d to D. Aug 9 answered Closed-form formula for approximate maximum duration of a bond? Aug 9 awarded Student Aug 8 awarded Supporter Aug 8 awarded Organizer