Which of the following is true of immunization using PV01?
A) If the duration of the portfolio matches the duration of a zero-coupon bond with a maturity equal to the horizon date and a price equal to that of the portfolio,then the PV01 of a short position in the portfolio and a long position in the bond is less than zero.
B) If the duration of the portfolio matches the duration of a zero-coupon bond with a maturity equal to the horizon date and a price equal to that of the portfolio,then the PV01 of a long position in the portfolio and a short position in the bond is zero.
C) If the duration of the portfolio matches the duration of a zero-coupon bond with a maturity equal to the horizon date and a price greater than that of the portfolio,then the PV01 of a long position in the portfolio and a short position in the bond is zero.
D) If the duration of the portfolio matches the duration of a zero-coupon bond with a maturity greater than the horizon date and a price equal to that of the portfolio,then the PV01 of a long position in the portfolio and a short position in the bond is zero.
Correct Answer:
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