Stádník, Bohumil - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-16
research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in … financial practice. It should provide a positive expected excess return and a small or zero potential loss. Convexity arbitrage … the same Macaulay Duration and price, but a different convexity at a certain yield to maturity point (YTM point). As the …