Which of the following best describes a measure of sensitivity to changes in yields to maturity for

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Which of the following best describes a measure of sensitivity to changes in yields to maturity for a portfolio of bonds with cash flows contingent on interest rate changes?

A. Portfolio dispersion

B. Modified duration

C. Effective duration

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 08, 2023 02:23 AM

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Which of the following best describes a measure of sensitivity to changes in yields to maturity for

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C is correct Effective duration i...View the full answer

Fixed Income Analysis

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