Question 871 duration, Macaulay duration, modified duration, portfolio duration
Which of the following statements about Macaulay duration is NOT correct? The Macaulay duration:
(a) Is the weighted average time that an asset’s cash flows are received, usually measured in years.
(b) Divided by (1+y) equals the modified duration, where y is the yield to maturity given as an effective annual rate and duration is measured in years.
(c) Of a zero-coupon bond is equal to the bond’s maturity.
(d) Of a fixed-coupon-paying bond will be less than the bond’s maturity.
(e) Of a portfolio is an arithmetic average of the Macaulay durations of the assets in the portfolio, weighted by their face values.
Copyright © 2014 Keith Woodward