{"id":"https://openalex.org/W2098634565","doi":"https://doi.org/10.1109/cdc.2002.1184598","title":"The duration derby: a comparison of duration based strategies in asset liability management","display_name":"The duration derby: a comparison of duration based strategies in asset liability management","publication_year":2003,"publication_date":"2003-08-27","ids":{"openalex":"https://openalex.org/W2098634565","doi":"https://doi.org/10.1109/cdc.2002.1184598","mag":"2098634565"},"language":"en","primary_location":{"id":"doi:10.1109/cdc.2002.1184598","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2002.1184598","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 41st IEEE Conference on Decision and Control, 2002.","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5070347857","display_name":"Harry Zheng","orcid":"https://orcid.org/0000-0002-5882-2088"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"H. Zheng","raw_affiliation_strings":["Department of Mathematics, Imperial College for Science, London, UK"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College for Science, London, UK","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008990681","display_name":"Lyn C. Thomas","orcid":"https://orcid.org/0000-0002-3727-4772"},"institutions":[{"id":"https://openalex.org/I43439940","display_name":"University of Southampton","ror":"https://ror.org/01ryk1543","country_code":"GB","type":"education","lineage":["https://openalex.org/I43439940"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"L.C. Thomas","raw_affiliation_strings":["School of Management, University of Southampton, UK"],"affiliations":[{"raw_affiliation_string":"School of Management, University of Southampton, UK","institution_ids":["https://openalex.org/I43439940"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5012912368","display_name":"David E. Allen","orcid":"https://orcid.org/0000-0001-7782-0865"},"institutions":[{"id":"https://openalex.org/I12079687","display_name":"Edith Cowan University","ror":"https://ror.org/05jhnwe22","country_code":"AU","type":"education","lineage":["https://openalex.org/I12079687"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"D.E. Allen","raw_affiliation_strings":["School of Finance and Business Economics, Edith Cowan University, WA, Australia"],"affiliations":[{"raw_affiliation_string":"School of Finance and Business Economics, Edith Cowan University, WA, Australia","institution_ids":["https://openalex.org/I12079687"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5070347857"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":null,"apc_paid":null,"fwci":1.2777,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.81188462,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"1","issue":null,"first_page":"769","last_page":"774"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/duration","display_name":"Duration (music)","score":0.8320053815841675},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.7273561358451843},{"id":"https://openalex.org/keywords/treasury","display_name":"Treasury","score":0.7109184265136719},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6608412861824036},{"id":"https://openalex.org/keywords/immunization","display_name":"Immunization","score":0.6381262540817261},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.6122820377349854},{"id":"https://openalex.org/keywords/liability","display_name":"Liability","score":0.567359209060669},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.5218678712844849},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.46133553981781006},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4577331840991974},{"id":"https://openalex.org/keywords/term","display_name":"Term (time)","score":0.44821658730506897},{"id":"https://openalex.org/keywords/interest-rate-risk","display_name":"Interest rate risk","score":0.4462760090827942},{"id":"https://openalex.org/keywords/key","display_name":"Key (lock)","score":0.43111446499824524},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.4126695394515991},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.37258946895599365},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3268549144268036},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.31968820095062256},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.23267924785614014},{"id":"https://openalex.org/keywords/computer-security","display_name":"Computer security","score":0.12627962231636047},{"id":"https://openalex.org/keywords/medicine","display_name":"Medicine","score":0.06527167558670044}],"concepts":[{"id":"https://openalex.org/C112758219","wikidata":"https://www.wikidata.org/wiki/Q16038819","display_name":"Duration (music)","level":2,"score":0.8320053815841675},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.7273561358451843},{"id":"https://openalex.org/C2780889827","wikidata":"https://www.wikidata.org/wiki/Q10756188","display_name":"Treasury","level":2,"score":0.7109184265136719},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6608412861824036},{"id":"https://openalex.org/C2780801004","wikidata":"https://www.wikidata.org/wiki/Q1415366","display_name":"Immunization","level":3,"score":0.6381262540817261},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.6122820377349854},{"id":"https://openalex.org/C2777834853","wikidata":"https://www.wikidata.org/wiki/Q96776939","display_name":"Liability","level":2,"score":0.567359209060669},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.5218678712844849},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.46133553981781006},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4577331840991974},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.44821658730506897},{"id":"https://openalex.org/C29944286","wikidata":"https://www.wikidata.org/wiki/Q205273","display_name":"Interest rate risk","level":3,"score":0.4462760090827942},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.43111446499824524},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.4126695394515991},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37258946895599365},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3268549144268036},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31968820095062256},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23267924785614014},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.12627962231636047},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.06527167558670044},{"id":"https://openalex.org/C95457728","wikidata":"https://www.wikidata.org/wiki/Q309","display_name":"History","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C142362112","wikidata":"https://www.wikidata.org/wiki/Q735","display_name":"Art","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0},{"id":"https://openalex.org/C124952713","wikidata":"https://www.wikidata.org/wiki/Q8242","display_name":"Literature","level":1,"score":0.0},{"id":"https://openalex.org/C147483822","wikidata":"https://www.wikidata.org/wiki/Q103537","display_name":"Antigen","level":2,"score":0.0},{"id":"https://openalex.org/C203014093","wikidata":"https://www.wikidata.org/wiki/Q101929","display_name":"Immunology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cdc.2002.1184598","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2002.1184598","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 41st IEEE Conference on Decision and Control, 2002.","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.41999998688697815,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W1569990960","https://openalex.org/W1599153571","https://openalex.org/W1970203843","https://openalex.org/W1983688269","https://openalex.org/W1991253748","https://openalex.org/W2003428359","https://openalex.org/W2032730137","https://openalex.org/W2074248134","https://openalex.org/W2100107809","https://openalex.org/W2124017670","https://openalex.org/W2990069387","https://openalex.org/W4243082594"],"related_works":["https://openalex.org/W2370750334","https://openalex.org/W3121170756","https://openalex.org/W3122902554","https://openalex.org/W2595814987","https://openalex.org/W2379114542","https://openalex.org/W2383276925","https://openalex.org/W1508180289","https://openalex.org/W653340811","https://openalex.org/W2384781620","https://openalex.org/W1986918211"],"abstract_inverted_index":{"The":[0],"Macaulay":[1,31,72],"duration":[2,32,45,86],"matched":[3,33],"strategy":[4],"is":[5,14,46,67,122],"a":[6,91],"key":[7,74],"tool":[8],"in":[9,65,94],"bond":[10,51,83],"portfolio":[11,34,131],"immunization.":[12,39],"It":[13],"well":[15],"known":[16],"that":[17],"if":[18],"term":[19,61],"structures":[20,104],"are":[21,26],"not":[22,27,36,100,114],"flat":[23],"or":[24,105],"changes":[25,55,108],"parallel,":[28],"then":[29],"the":[30,41,43,50,78,129],"can":[35],"guarantee":[37],"adequate":[38],"In":[40],"paper":[42],"approximate":[44],"proposed":[47],"to":[48,54,89,124],"measure":[49],"price":[52],"sensitivity":[53],"of":[56,59,71,107,109,118],"interest":[57,110],"rates":[58],"non-flat":[60],"structures.":[62],"Its":[63],"performance":[64],"immunization":[66],"compared":[68],"with":[69,132],"those":[70],"and":[73,82,120,127],"rate":[75],"durations":[76],"using":[77],"US":[79],"Treasury":[80],"strips":[81],"data.":[84],"Approximate":[85],"turns":[87],"out":[88],"be":[90],"possible":[92],"contender":[93],"asset":[95],"liability":[96],"management:":[97],"it":[98,112,121],"does":[99,113],"assume":[101],"any":[102],"particular":[103],"patterns":[106],"rates,":[111],"need":[115],"short":[116],"selling":[117],"bonds,":[119],"easy":[123],"set":[125],"up":[126],"rebalance":[128],"optimal":[130],"linear":[133],"programming.":[134]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
