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Dollar convexity is the second order derivative of the bond pricing function with respect to the yield to maturity. Since derivation is a linear operator,

Dollar convexity is the second order derivative of the bond pricing function with respect to the yield to maturity. Since derivation is a linear operator, the convexity of a portfolio of bonds is the weighted average of the convexity of the bonds in the portfolio, and the weights are the relative prices of the bonds in the portfolio.

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