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Duration and Bond Portfolio Analysis: An Overview

Author

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  • Bierwag, G. O.
  • Kaufman, George G.
  • Khang, Chulsoon

Abstract

In recent years, academicians and practitioners have been using the concept of duration more frequently in the analysis of debt securities. Although the use of duration has greatly expanded our insights into the behavior of bond prices and bond risk, it has given rise to a considerable degree of confusion and misunderstanding. The purpose of this review paper is twofold: (1) to clarify the record on what duration is and is not and what it can do and cannot do, and (2) to discuss the appropriate uses of duration in the analysis of security portfolios.

Suggested Citation

  • Bierwag, G. O. & Kaufman, George G. & Khang, Chulsoon, 1978. "Duration and Bond Portfolio Analysis: An Overview," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 671-681, November.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:04:p:671-681_00
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    Citations

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    Cited by:

    1. Jess B. Yawitz & William J. Marshall, 1981. "The Shortcomings Of Duration As A Risk Measure For Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 91-101, June.
    2. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    3. Robert W. Kolb & Raymond Chiang, 1982. "Duration, Immunization, And Hedging With Interest Rate Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 161-170, June.
    4. Michael Theobald & Peter Yallup, 2010. "Liability-driven investment: multiple liabilities and the question of the number of moments," The European Journal of Finance, Taylor & Francis Journals, vol. 16(5), pages 413-435.
    5. Christopher A. Hessel & Lucy T. Huffman, 1983. "Incorporation Of Tax Considerations Into The Computation Of Duration," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 213-215, September.
    6. Walter Wasserfallen & Daniel Wydler, 1986. "Die Preisbildung von neu emittierten Obligationen in der Schweiz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 122(III), pages 425-442, September.

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