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A Limitation of Calculating a Bond Portfolio's Duration as the Weighted

Question 16

Multiple Choice

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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