Measuring the duration of an internationally diversified bond portfolio: The conventional measure is meaningless

Journal of Portfolio Management

Volumn 24, Issue 1, 1997, Pages 93-99

  Thomas, Lee ^b   Willner, Ram ^a  

^a Pac Investment Management Company   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031617118     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1997.409628     Document Type: Article

References (3)

1. Duffie, Darrell. Futures Markets. Englewood Cliffs, NJ: Prentice-Hall, 1989, pp. 201-224.
2. Willner, Ram. "Improved Measurement of Duration Contributions of Foreign Banks in Domestic Portfolios." In Frank J. Fabozzi, ed., Perspectives on International Fixed Income Investing. New Hope, PA: Frank J. Fabozzi Associates, Forthcoming, 1998.
3. -. "A New Tool for Portfolio Managers: Level, Slope, and Curvature Durations." Journal of Fixed Income, June 1996, pp. 48-59.