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Article contents
Comment: Duration and Bond Portfolio Analysis
Published online by Cambridge University Press: 06 April 2009
Extract
The stated purpose of this review paper by Professors Bierwag, Kaufman, and Khang is (1) to clarify the record on what duration is and is not, and (2) to discuss its usefulness in the analysis of security portfolios. However, the implied, the more important, purpose is to focus the attention of the academic community on a subject that seems to warrant more attention than it has received. Indeed, it seems to me that the whole purpose of this session, which not incidentally is being chaired by coauthor Kaufman, is simply that: to show what can and cannot be done with the concept of duration.
- Type
- III. Duration and Portfolio Strategy
- Information
- Journal of Financial and Quantitative Analysis , Volume 13 , Issue 4 , November 1978 , pp. 683 - 685
- Copyright
- Copyright © School of Business Administration, University of Washington 1978
References
1 Haugen, Robert A., and Wichern., Dean W. “The Elasticity of Financial Assets.” Journal of Finance (09 1974), pp. 1229–40CrossRefGoogle Scholar.
2 Babcock, G. J. “A Modified Measure of Duration,” Presented 06 1976 at the 11 Annual Conference of the Western Finance AssociationGoogle Scholar.