A 'bullet portfolio' is one where:
A) two ZCBs are held whose average duration equals a desired benchmark duration.
B) no ZCBs are held.
C) only ZCBs are held whose exact duration equals a desired benchmark duration.
D) none of the above.
Correct Answer:
Verified
Q19: The convexity (CX) of a ZCB is
Q20: The prices of the securities are more
Q21: The cover ratio needs to be higher
Q22: A portfolio is exposed to interest rate
Q23: Convexity cannot be used to construct a
Q25: Modified duration is adjusted for the curvature
Q26: A perpetuity (a bond with an infinite
Q27: Which of the following is a problem
Q28: The duration of most securities as the
Q29: The convexity of a security increases as:
A)
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