Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Wealth Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Wealth Management

The Journal of Wealth Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • LinkedIn
  • Twitter
Primary Article

Estimating the Interest Rate Sensitivity of Mixed-Asset Portfolios

Robert R. Johnson, Frank K. Reilly and David J. Wright
The Journal of Wealth Management Spring 2001, 3 (4) 54-60; DOI: https://doi.org/10.3905/jwm.2001.320395
Robert R. Johnson
A senior vice president of the Association for Investment Management and Research in Charlottesville, VA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Frank K. Reilly
The Bernard J. Hank Professor in the Mendoza School of Business at the University of Notre Dame in Indiana
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
David J. Wright
A professor of finance in the College of Business and Technology at the University of Wisconsin-Parkside
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

The purpose of this article is to show how the different measures of duration can be employed to estimate the interest rate sensitivity of a mixed-asset portfolio. The authors start by reviewing alternative measures of duration, indicating the appropriate measures to use for different asset classes. They then discuss the calculation of equity duration, provide examples of equity durations for several widely traded equity securities, and then illustrate a possible computation of duration for a mixed asset portfolio. Having discussed the limitations of this methodology, they observe in the conclusion that the relationship between changes in interest rates and financial asset returns has been of significant interest to investment professionals for many years.

  • © 2001 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Wealth Management
Vol. 3, Issue 4
Spring 2001
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Wealth Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Estimating the Interest Rate Sensitivity of Mixed-Asset Portfolios
(Your Name) has sent you a message from The Journal of Wealth Management
(Your Name) thought you would like to see the The Journal of Wealth Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Estimating the Interest Rate Sensitivity of Mixed-Asset Portfolios
Robert R. Johnson, Frank K. Reilly, David J. Wright
The Journal of Wealth Management Jan 2001, 3 (4) 54-60; DOI: 10.3905/jwm.2001.320395

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Estimating the Interest Rate Sensitivity of Mixed-Asset Portfolios
Robert R. Johnson, Frank K. Reilly, David J. Wright
The Journal of Wealth Management Jan 2001, 3 (4) 54-60; DOI: 10.3905/jwm.2001.320395
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Reconsidering IRA and Roth IRA
  • Corporate PACs and the Stock Market
  • The Elusiveness of Investment Skill
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1534-7524 | E-ISSN: 2374-1368

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy