… Some numerical examples of some of the theorems developed in this paper are contained
in Bierwag and Kaufman [1]. The author bears responsibility for errors and ambiguities …

This survey article reviews the historical development of duration and its uses in (1)
summarizing in one variable the cash flow characteristics of bonds,(2) approximating the price …

In a previous article in this Journal, Fisher and Weil demonstrate that, in the absence of default
and taxes, an investor can immunize a portfolio of coupon bonds by selecting a portfolio …

A number of recent papers have shown that it is possible for an investor to immunize a portfolio
of default and option-free coupon bonds so that the return realized over a given planning …

IN A SERIES OF PAPERS-Fisher and Weil [7], Bierwag [2, 3, 4], Bierwag and Kaufman [5],
and Khang [14] show that an investor can immunize a portfolio of default free coupon bonds …

Interest Rate Risk Financial institutions assume interest rate risk when the interest sensitivity
of their assets differs from that of their liabilities. When the price (income) sensitivity of …

… Bierwag and Khang develop a formal model to show that immunization is consistent with …
Use of duration analysis in active bond portfolio management has been discussed by Bierwag, …

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 …

The theoretical and empirical properties of M-squared, a measure of cash flow dispersion
used in designing duration-hedged portfolios, are examined. Contrary to prior research, …

… The first draft of this paper was prepared by the late Gerry Bierwag. He asked Iraj F ooladi to
… The academic world owes Gerry Bierwag for his many contributions in development of dura…