In this paper we show the multitude of models that are involved in duration analysis and their implications in the immunization of fixed income portfolios. To that end, we explain first the immunization technique and the traditional duration model and its limitations. We then examine several duration models that have been proposed over the last twenty years. Finally, we review the most relevant empirical evidence in this field from a critical point of view. Such an approach is justified given the use of portfolio constraints that favor certain models in empirical research, together with unsolved issues.

Key words: immunization, duration, interest rate, risk management, fixed income.
JEL classification: E43, G11.