'The duration of a portfolio of bonds is the portfolio-weighted average of the durations of the respective bonds in the portfolio.' Which of the following is an assumption for the above statement to hold true?
A) The term structure of interest rates is flat.
B) There are no arbitraging opportunities.
C) The market is frictionless.
D) The firm can lend and borrow at the risk free rate of interest.
Correct Answer:
Verified
Q2: The current yield to maturity is 7%
Q3: PV01 is a measure:
A)of how much a
Q4: Which of the following is true of
Q5: _ is a technique for locking in
Q6: What is duration?
Q7: Which of the following is the
Q8: _ is defined as the sensitivity of
Q9: _ sets a target value for the
Q10: Which of the following is true of
Q11: A bond position has a PV01 of
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