单选题 A bond portfolio consists of a AAA bond, a AA bond, and an A bond. The prices of the bonds are $1050, $1000, and $950 respectively. The durations are 8,6, and 4 respectively. What is the duration of the portfolio?

A、

A. 6.07.
B、

B. 6.00.
C、

C. 6.67.

【正确答案】 A

【答案解析】The duration of a bond portfolio is the weighted average of the durations of the bonds in the portfolio. The weights are the value of each bond divided by the value of the portfolio: portfolio duration=8×(1050/3000)+6×(1000/3000)+4×(950/3000)=2.8+2+1.27=6.07.