Showing papers by "George G. Kaufman published in 1978"
TL;DR: In this article, a review of the use of duration in the analysis of security portfolios is presented, focusing on what duration is and is not and what it can do and cannot do.
Abstract: In recent years, academicians and practitioners have been using the concept of duration more frequently in the analysis of debt securities. Although the use of duration has greatly expanded our insights into the behavior of bond prices and bond risk, it has given rise to a considerable degree of confusion and misunderstanding. The purpose of this review paper is twofold: (1) to clarify the record on what duration is and is not and what it can do and cannot do, and (2) to discuss the appropriate uses of duration in the analysis of security portfolios.
54 citations
TL;DR: Fogler, Groves, and Richardson (FGR) as mentioned in this paper concluded that "dumbbell portfolio strategies are not as efficient as indicated by previous analyses" and reported that "portfolios split between a spaced group of short maturity bonds and a longer investment security are most efficient".
Abstract: In recent years, a number of studies have been published evaluating alternative bond portfolio strategies. These studies basically simulate risk-return characteristics for a variety of strategies designed for use by financial institutions. Typical strategies considered include portfolios of bonds that have laddered or barbell (dumbbell) maturity structures. In laddered strategies, bonds are spaced evenly among a number of consecutive maturities, while in barbell strategies, bonds are concentrated in short and long maturities. The results of these studies tend to differ and conflict. For example, in a recent article in this journal, Fogler, Groves, and Richardson (FGR) conclude that “dumbbell portfolio strategies are not as efficient as indicated by previous analyses.” Among the previous studies to which they refer is one by Watson, who concluded that “portfolios split between a spaced group of short maturity bonds and a longer investment security” (barbell portfolios) are most efficient. Similar results are reported by Wolf and by Bradley and Crane.
14 citations
TL;DR: In this paper, the authors argue that state and local governments often pay higher interest rates than necessary on their new municipal bonds sold competitively because of the use of inefficient bidding rules and of a flawed measure of interest rate to evaluate the bids.
6 citations