DURATION AND INTEREST RATE RISK FOR UNCERTAIN CASH FLOW STREAMS
修正了Hicks-Macaulay-Samuelson久期分析，允许资产现金流存在不确定性，证明变换后的久期度量服从正态分布，可用于评估现值对利率变动的敏感性。
This paper amends the Hicks‐Macaulay‐Samuelson duration analysis to allow for uncertainty in asset cash flows. An asset's duration measure then becomes a random variable which may possess no central moments. We show, however, that a transformed version of the duration measure is normally distributed. This can be used to make probability assessments of the sensitivity ofthe present value of an asset's cash flow stream to interest rate movements.