单选题

A portfolio manager holds the following three bonds, which are option free and have the indicated durations.

A、 4.75.
B、 5.20.
C、 5.33.

【正确答案】 A

【答案解析】

The portfolio's duration is a weighted average of the durations of the individual holdings, computed as: (12/24)×(3.0)+(6/24)×(7.0)+(6/24)×(6.0)=4.75.