Consider a portfolio with only two assets, the duration of the two assets are 5 for Asset A and 10 for Asset B.

Select one:

a. None of the other statements is correct.

b. For a target portfolio duration of 12, the portfolio weight of asset A is negative and the portfolio weight of asset B is positive.

c. For a target portfolio duration of 8, the portfolio weight of asset A is positive and the portfolio weight of asset B is negative.

d. For a target portfolio duration of 12, the portfolio weight of asset A is positive and the portfolio weight of asset B is negative.

e. For a target portfolio duration of 8, the portfolio weight of asset A is negative and the portfolio weight of asset B is positive.