Home > Manajemen Investasi dan Pasar Modal > Sekilas tentang Beta Obligasi

Sekilas tentang Beta Obligasi

Beta Obligasi


Di mana:

βt = beta obligasi pada waktu t.

Dt = duration obligasi pada waktu t.

Cov(drt, Rmt) = covariance yield to maturity obligasi dengan return market portfolio

σ2(Rmt) = variance return market portfolio.


Modified Duration


Di mana:

D* = modified duration

y = suku bunga atau yield obligasi.




Di mana:

D = duration

t = waktu

VB = harga obligasi

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