Mike Allen

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Risk Duration, Reward Duration, Duration Ratio, Macaulay duration, modified duration, duration, convexity, Allen's convexity, quality ratio, fixed income portfolio management, bond management, risk management

A Guide to Fixed Income Portfolio Management Using RiskDuration, RewardDuration, and DurationRatio as Alternatives to Effective Duration and Convexity

Number of pages: 23 Posted: 05 Nov 2007 Last Revised: 22 Jun 2016
Mike Allen
affiliation not provided to SSRN
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Abstract:

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RiskDuration, RewardDuration, DurationRatio, Macaulay duration, modified duration, duration, convexity, Allen's convexity, quality ratio, fixed income portfolio management, bond management, risk management