WebDating from the initial work of Macaulay [9] and Hicks [6], duration has been shown to be important in constructing portfolios that are hedged or ‘immunized’ from the possible ravages of interest rate uncertainty. Type Research Article Information Journal of Financial and Quantitative Analysis, Volume 12, Issue 5, December 1977, pp. 725 - 742 WebVariations of Duration Macaulay Duration Modified Duration Effective Duration (optionEffective Duration (option-adjusted) Key Rate Duration Interpretations of …
A Risk Minimizing Strategy for Portfolio Immunization - JSTOR
Web1. Macaulay duration and modified duration 2. Duration and interest-rate sensitivity 3. Convexity 4. Some rules for duration calculation 5. Asset-liability matching and … WebAbstract In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and when the Macaulay duration concept happens to be a good approximation of a bond’s price sensitivity. We are concerned with the basic immunization problem with a single liability to be discharged at a future time q. Our idea is to divide the class K of all … marco antonio velazquez
Financial Mathematics for Actuaries
WebDec 10, 2024 · Macaulay Duration and Bond Immunization In asset-liability portfolio management, duration-matching is a method of interest rate immunization. A change in the interest rate affects the present value of cash flows, and thus affects the value of a fixed-income portfolio. In asset-liability portfolio management, duration-matching is a method of interest rate immunization. A change in the interest rate affects the present value of cash flows, and thus affects the value of a fixed-income portfolio. By matching the durations between the assets and liabilities in a company’s portfolio, the … See more In Macaulay duration, the time is weighted by the percentage of the present value of each cash flow to the market priceof a bond. Therefore, it is calculated by summing up all the … See more Modified duration is another frequently used type of duration for bonds. Different from Macaulay duration, which measures the average time to receive the present value of cash flows equivalent to the current bond price, … See more The Macaulay duration of a bond can be impacted by the bond’s coupon rate, term to maturity, and yield to maturity. With all the other factors constant, a bond with a longer term to maturity assumes a greater Macaulay duration, … See more Thank you for reading CFI’s guide on Macaulay Duration. To keep learning and developing your knowledge of financial analysis, we highly … See more WebVaccination Information. 澳門特別行政區政府衛生局. Serviços de Saúde do Governo da Região Administrativa Especial de Macau. marco antonio velazquez lozano