A comparison of UK equity and property duration

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Hamelink, F.; MacGregor, B.; Nanthakumaran, N.; Orr, A.;
  • Publisher: Taylor and Francis

This paper considers the duration of property and equity. A general formula for duration of asset classes is derived. It is shown that calculations which assume, usually implicitly, that the flow-through of inflation to cash flow is zero, produce misleadingly high durat... View more
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