Article1978

Duration Forty Years Later

Jonathan E. Ingersoll · Jeffrey L. Skelton · Roman L. Weil

184 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stochastic processes and financial applications

Abstract

Jonathan E. Ingersoll, Jr., Jeffrey Skelton, Roman L. Weil, Duration Forty Years Later, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 4, Proceedings of Thirteenth Annual Conference of the Western Finance Association, June 20-26, 1978 (Nov., 1978), pp. 627-650

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1977An equilibrium characterization of the term structure 1939Value and Capital 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’1952Review of the Principles of Life-office Valuations 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*1959Business Cycles and Economic Growth.1976Forward rates as predictors of future spot rates

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