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W2070032489 abstract "This paper develops the duration of a portfolio of bonds that trade on different term structures because of, say, differences in credit quality. Such portfolios are widely held by investors. In contrast to the duration of a portfolio of bonds priced on the same term structure, the duration of a portfolio of bonds priced on different term structures is shown to be a function of the future values of the composite securities at the portfolio duration date rather than their present values. Portfolio duration expressions for such portfolios are derived for alternative assumptions about the stochastic process driving movements in interest rates across securities. It is also shown that portfolio durations based on present-value weights are a special case of those based on future-value weights." @default.
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W2070032489 date "1992-08-01" @default.
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W2070032489 title "Durations for portfolios of bonds priced on different term structures" @default.
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W2070032489 doi "https://doi.org/10.1016/0378-4266(92)90003-i" @default.
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