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Original Articles

Bond portfolio duration, cash flow dispersion and convexity

Pages 1669-1672 | Published online: 10 Mar 2010

References

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  • Macaulay , F.R. 1938 . The Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856 , New York : National Bureau of Economic Research .
  • Redington , F.M. 1952 . Review of the principles of life-office valuations . Journal of the Institute of Actuaries , 78 : 286 – 340 .

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