Neutral is sometimes referred to as immunizing the portfolio

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Reference no: EM13943314

Which of the following statements is false?

A) Adjusting a portfolio to make its duration neutral is sometimes referred to as immunizing the portfolio, a term that indicates it is being protected against interest rate changes.

B) When the durations of a firm's assets and liabilities are significantly different, the firm has a duration mismatch.

C) The duration of a portfolio of investments is the simple average of the durations of each investment in the portfolio.

D) As interest rates change, the market values of the securities and cash flows in the portfolio change as well, which in turn alters the weights used when computing the duration as the value-weighted average maturity

Reference no: EM13943314

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