Comment: Duration and Bond Portfolio Analysis

Extract

The stated purpose of this review paper by Professors Bierwag, Kaufman, and Khang is (1) to clarify the record on what duration is and is not, and (2) to discuss its usefulness in the analysis of security portfolios. However, the implied, the more important, purpose is to focus the attention of the academic community on a subject that seems to warrant more attention than it has received. Indeed, it seems to me that the whole purpose of this session, which not incidentally is being chaired by coauthor Kaufman, is simply that: to show what can and cannot be done with the concept of duration.