|
LOS f, (Part 2): Explain the limitations of portfolio duration.
Q1. Which of the following is a limitation of the portfolio duration measure? Portfolio duration only considers:
A) the market values of the bonds.
B) a nonparallel shift in the yield curve.
C) a linear approximation of the actual price-yield function for the portfolio.
Q2. Which of the following is NOT a limitation of the portfolio duration measure?
A) It assumes that the yield for all maturities changes by the same amount.
B) It is subject to huge swings in value since book values may change over time.
C) It is subject to huge swings in value since market values may change over time.
Q3. Which of the following is the most significant limitation of the portfolio duration measure? The assumption of:
A) a parallel shift in the yield curve.
B) a nonparallel shift in the yield curve.
C) a linear approximation of the actual price-yield function.
[此贴子已经被作者于2009-3-5 11:29:52编辑过] | 
发表于 2009-3-5 11:23
| 
