Duration: Its Development and Use in Bond Portfolio Management

Bierwag, G. O.; Kaufman, George G.; Toevs, Alden L.

doi:10.2469/faj.v39.n4.15

Cited by 68 publications

(33 citation statements)

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“…If this coupon is greater than 87, then we show it is optimal to choose the smallest available M. For this case, duration increases with increasing bond maturity (see e.g. Bierwag, Kaufman, and Toevs 1983) and it is therefore optimal to choose the bond with the lowest duration. Figure 3 shows the case where r 67 and max c c Ã 117.…”

Section: Longest Duration Not Alwaysmentioning

confidence: 83%

An investigation of cheapest-to-deliver on Treasury bond futures contracts

Benninga¹,

Wiener²

1999

JCF

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Section: Longest Duration Not Alwaysmentioning

confidence: 83%

An investigation of cheapest-to-deliver on Treasury bond futures contracts

Benninga¹,

Wiener²

1999

JCF

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“…verkauft, seinen unsicheren (t = 1)-Periodenendwert Y gegen bestimmte unerwünschte Preisentwicklungen abzusichern. Prominente Beispiele sind die Immunisierung zinsreagibler Wertpapierportfolios mit durationbasierten Methoden (Bierwag et al 1983) oder das Delta-Hedging von Kursschwankungen bei Unternehmenstiteln mit Hilfe von Optionen. Zur Demonstration betrachte man eine europäische Kaufoption (Call), die etwa zum Erwerb des Underlying "(t = 1)-Unternehmenswert Y " zum Basispreis von B 0 berechtigt.…”

Section: Der Neoklassische Ansatzunclassified

Corporate Hedging, Stakeholderinteresse und Shareholder Value

Kürsten

2006

JfB

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Zusammenfassung Hedging von Unternehmensrisiken ("Corporate Hedging") wird in Zeiten von zunehmender Internationalisierung und volatileren Märkten vielfach als eine Grundaufgabe moderner Unternehmenssteuerung angesehen. Dabei wird Hedging meistens aus der Generalprämisse risikoaverser Wirtschaftssubjekte oder einem natürlichen Schutzbedürfnis ungenügend diversifizierter Stakeholder, seltener aus Sicht der Shareholder heraus begründet. Andererseits werden wohldiversifizierte und risikofreudige Shareholder eher gegen Hedging optieren. Der Beitrag problematisiert diesen im Schrifttum wenig beachteten Widerspruch, nimmt eine Klassifizierung verbreiteter Hedgingmodelle vor und geht insbesondere auf deren Eignung zur Erklärung von Hedging im Shareholder Value-Kontext ein. In der Literatur wird ein Hedgingmotiv von Shareholdern verbreitet aus exogenen Friktionen -wie bspw. der Vermeidung von Insolvenzkosten -abgeleitet und dabei auf plausibilistische Risikomaße, wie etwa die Ausfallwahrscheinlichkeit zurück-gegriffen. Der Beitrag nimmt hier eine entscheidungstheoretische Identifikation des kontextadäquaten Risikomaßes nach Rothschild und Stiglitz vor und rekapituliert auf dieser Basis die verschiedenen Literaturauffassungen zum Hedging im Shareholder Value-Kontext. Dabei erweisen sich die dort genannten Hedgingfunktionen als wenig tragfähig; nach Einbeziehung der Stakeholderposition kann über Hedging nicht mehr isoliert unter Risikogesichtspunkten, sondern muss im Lichte von Risk-Return-Trade-offs diskutiert werden. Schlüsselwörter Corporate Hedging · Shareholder Value · Stakeholder · Risikomaße W. Kürsten (B) Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Allgemeine Betriebswirtschaftslehre, insbesondere Finanzierung, Banken und Risikomanagement, AbstractCorporate hedging is commonly viewed as a fundamental task in modern corporate management, especially since markets have become increasingly volatile in the past and most firms have started operating internationally. In the literature, hedging is justified by the assumption of risk-averse decision makers or undiversified stakeholders, but mostly not from the point of view of risk-prone shareholders. This gap in the scientific discussion of corporate hedging is analyzed in the article, which provides a classification of hedging models and discusses their ability to explain corporate hedging from the shareholder's point of view. In particular, the well-known argument of increasing shareholder value by decreasing the value of external stakeholder claims through hedging is discussed analytically. The paper shows that Rothschild and Stiglitz's mean preserving spread is the only adequate risk measure in the context of shareholder value and hedging, but renders no robust hedging motive. As a result, the predictions from the literature rely on the use of inadequate risk measures and negligence with regard to the incorporation of risk-return trade-offs.

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“…Duration and coupon vary inversely. (For a complete review of the application of duration analysis to bonds see Bierwag et al, 1983;and Bierwag et al, 1988. ).…”

Section: Literature Reviewmentioning

confidence: 99%

A comparison of UK equity and property duration

Hamelink¹,

Macgregor²,

Nanthakumaran³

et al. 2002

Journal of Property Research

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DedicationThis paper is dedicated to Nanda Nanthakumaran who died before it was published. He was, not only a dedicated teacher and researcher of international renown, but also a dear friend, sadly missed by everyone who knew him. We hope that the alterations we have made subsequent to his death are in keeping with the high standards he always set. A comparison of UK property and equity duration AbstractThis paper considers the duration of property and equity. A general formula for duration of asset classes is derived. It is shown that calculations which assume, usually implicitly, that the flow-through of inflation to cash flow is zero, produce misleadingly high durations for property and equities. These are typically in the range 15 to 25 years. Simulations using the formulae show that property has some bond-like characteristics. The results indicate that, for realistic flow-through rates, equities have a higher duration than property. The flow-through rate is the most important variable in the estimation of equities. Using historical data, equity duration is estimated at 8.65 years and property's at 3.15 years. These are substantially lower than those commonly cited. If these values can be substantiated, and if higher values are used in practice, portfolio immunisation strategies may need to be reconsidered.

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Duration: Its Development and Use in Bond Portfolio Management

Cited by 68 publications

References 0 publications

An investigation of cheapest-to-deliver on Treasury bond futures contracts

An investigation of cheapest-to-deliver on Treasury bond futures contracts

Corporate Hedging, Stakeholderinteresse und Shareholder Value

A comparison of UK equity and property duration

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