A limitation of calculating a bond portfolios duration as the weighted average of the yield durations of

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A limitation of calculating a bond portfolio’s duration as the weighted average of the yield durations of the individual bonds that compose the portfolio is that it:

A. Assumes a parallel shift to the yield curve.

B. Is less accurate when the yield curve is less steeply sloped.

C. Is not applicable to portfolios that have bonds with embedded options.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 08, 2023 04:19 AM

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A limitation of calculating a bond portfolios duration as the weighted average of the yield durations of

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C Is not applicable to portfolios that have bonds with embedde...View the full answer

Fixed Income Analysis

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