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Discussion; Duration and Security Risk
Published online by Cambridge University Press: 06 April 2009
Extract
Lanstein and Sharpe (LS) attempt to explain residual covariances between stocks on the basis of duration considerations. The results, by admission are mixed. Rather than to focus on these per se, I would like to further the work by making some suggestions with respect to the formal model development and the empirical tests-on the basis that both could be made crisper and thereby increase the value of what already is a contribution.
- Type
- III. Duration and Portfolio Strategy
- Information
- Journal of Financial and Quantitative Analysis , Volume 13 , Issue 4 , November 1978 , pp. 669 - 670
- Copyright
- Copyright © School of Business Administration, University of Washington 1978