medium · FRM Part 1 Financial Markets and Products
A portfolio manager determines that a portfolio has an effective duration of 7.5 years.
If the portfolio is comprised of a 2-year segment with a Key-Rate Duration (KRD) of 1.0 and a 5-year segment with a KRD of 2.5, what is the KRD of the 10-year segment?
- 3.5
- 11.0
- 4.0
- 3.0
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