中文摘要：

股票利率风险的定量研究在中国尚不多见。论文采用久期技术探讨了资产组合利率风险测量与管理问题。论文创新之处在于建立了一个基于股权自由现金流的股票久期微观模型，对微观模型和基于消费资产定价的股票宏观久期进行了比较，以这两个模型为依据，计算出我国上证50指数成分股的总体久期值分别为18和25。

英文摘要：

It has seldom been studied on quantitative measure of stock interest rate risk. The paper uses duration technique to measure portfolio interest rate risks under liability-driven investment. We first introduce Lewin and Satchell equity duration model, and establish an simple equity dura- tion model under free cash flow to equity. Then we calculate the duration of Shanghai Securities Exchange 50 Index as 18 to 25 years under both models. Stock durations are applied in the interest rate risk measurement. Innovation in this paper is that we give a quantitative estimation of interest rate risk during asset and liability portfolio management.