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

Hui Zheng, L.C. Thomas and David Allen

Working Papers from University of Southampton - Department of Accounting and Management Science

Abstract: 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.

Keywords: IMMUNIZATION; PRICES; BONDS; INTEREST RATE (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2001
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Citations: View citations in EconPapers (4)

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