Augmented Returns for Riding the Yield Curve
Rp is the effective yield of the T-bill when purchased, E(Rs) is the expected return of the T-bill when it is sold, Np is the number of days to maturity when the T-bill was purchased, NH is the number of days the T-bill was held. The E(RYC) generated in formula (3) is correct only if the yield curve does not change. ................
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