   483

20   ,        -
 .  ,     , , 10 ,  -
    .

21        ,    
    ,     
.  ,         ,  -
, ,         ,     
 . ., : Stuart M. Turnbull, Swaps: A Zero Sum Game?, Financial
Management, 16, no. 1 (Spring 1987), pp. 15-21; and Clifford W. Smith, Jr., Charles W. Smithson, and
D. Sykes Wilford, Managing Financial Risk (New York: Harper & Row, 1990), Chapters 9-12.

22 Martin L. Leibowitz, Horizon Analysis for Managed Bond Portfolios, Journal of Portfolio Management,
1, no. 3 (Spring 1975), pp. 32-33.

23    (  . 5), ,    
  ,        
(      90-       
  90  180-  ).

24  . 24        .  
    ,   ,   -
, .: Martin L. Leibowitz, Total Portfolio Duration: A New Perspective on Asset Allocation,
Financial Analysts Journal, 42, no. 5 (September/October 1986), pp. 18-29.

25   ,   , ,    
   ,    20-   
     ,       -
  ,  5%.  10-   
11%. .: Kirt . Butler and Dale L. Domian, Risk, Diversification, and the Investment Horizon,
Journal of Portfolio Management, 17, no. 3 (Spring 1991), pp. 4147.

26       1985 .,   . 16.3.   
  ,         ,
  .

27         . 17.

28 Susan D. Jordan and Bradford D. Jordan, Seasonality in Daily Bond Returns, Journal of Financial and
Quantitative Analysis, 26, no. 2 (June 1991), pp. 269285. ,     
     ,      (-
    ).       -
,     . 17.

29       ,       -
,        .

 

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