A portfolio manager holds the following three bonds, which are option free and have the indicated durations.
| Bond | Par value owned | Market value owned | Duration |
| A | $8,000,000 | $12,000,000 | 3.0 |
| B | $8,000,000 | $6,000,000 | 7.0 |
| C | $4,000,000 | $6,000,000 | 6.0 |
The portfolio's duration is closest to:
A is correct because 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.