The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management.

Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known that if term structures are not flat or changes are not parallel, then Macaulay duration matched portfolio can not guarantee adequate immunization. In this paper the approximate duration is proposed to measure the bond price sensitivity to changes of interest rates of nonflat term structures.

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Year of publication:	2001
Authors:	Zheng, H. ; Thomas, L.C. ; Allen, D.E.
Institutions:	Economics Division, University of Southampton
Subject:	IMMUNIZATION \| PRICES \| BONDS \| INTEREST RATE

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Series:	University of Southampton - Department of Accounting and Management Science.
Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	G11 - Portfolio Choice ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005486649