Question: Answer the below questions. (a) Empirical evidence suggests that with respect to bond risk premiums that influence the shape of the Treasury yield curve, there

Answer the below questions.
(a) “Empirical evidence suggests that with respect to bond risk premiums that influence the shape of the Treasury yield curve, there is a linear relationship between Treasury average returns and duration.” Explain whether you agree or disagree with this statement. If you disagree, explain the type of relationship that has been observed.
(b) What is meant by the “convexity bias” influence on the shape of the Treasury yield curve?

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a A body of work by Antti Ilmanen provides the most comprehensive research on the main influences of the shape of the Treasury yield curve This work d... View full answer

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