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- W1148442736 abstract "This chapter briefly discusses duration and convexity. Duration is a risk measure as well as a time measure. Frederick Macaulay first invented duration in the 1930s as part of his analytical work on American corporate bonds. The chapter uses duration as a measure of bond risk. Its importance is linked to bond volatility. A modified duration is a better measure of bond volatility, or bond risk. For most bond analytical works, it is required to know the percent price change, rather than the dollar price change, because the return is expressed as a percent. A portfolio is a collection of bonds, considered as a group. Any group of bonds could be considered a portfolio, but most portfolios have some feature or features that distinguish them from other portfolios. These features describe the characteristics of the portfolio. Usually, these include the purpose of the portfolio, which would in turn determine the types of bonds bought by the portfolio. One way to manage a portfolio is to select the duration; this measures the portfolio's risk. The management sets the portfolio management objectives, at least partly in terms of duration. It can then measure the portfolio manager's performance in meeting the risk requirements of the portfolio." @default.
- W1148442736 created "2016-06-24" @default.
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- W1148442736 date "2003-01-01" @default.
- W1148442736 modified "2023-10-18" @default.
- W1148442736 title "Duration" @default.
- W1148442736 doi "https://doi.org/10.1016/b978-012781721-7.50015-8" @default.
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