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Bond portfolios A and B have the same duration, but portfolio B has a larger convexity. If a large, parallel, shift in the yield curve

Bond portfolios A and B have the same duration, but portfolio B has a larger convexity. If a large,

parallel, shift in the yield curve is anticipated, which portfolio is likely to perform better?

a. portfolio A

b. the portfolios will have approximately identical performance

c. portfolio B

d. None of the other answers are correct.

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