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Which combination of bonds (assume same duration) will have the most convexity 100% 10-yr bond, 50% 5-yr, 50% 15-yr, 55% 2-yr, 45% 20-yr 85% 1-yr,
Which combination of bonds (assume same duration) will have the most convexity 100% 10-yr bond, 50% 5-yr, 50% 15-yr, 55% 2-yr, 45% 20-yr 85% 1-yr, 15% 60-yr
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