Which of the following statement about duration is incorrect? Question 2

Answer

a. If two portfolios have the same duration, the change in their value when interest rates change will be the same.

b. Duration is an approximation of price change assuming a parallel shift in the yield curve

c. When interest rates are low, there will be little difference between the Macaulay duration and modified duration measures

d. Duration of a portfolio is the weighted average duration of the bonds in the portfolio