Immunization Through Duration Matching of Assets and Liabilities May Be

question 13

Multiple Choice

Immunization through duration matching of assets and liabilities may be ineffective or inappropriate because

• A) conventional duration strategies assume a flat yield curve.
• B) duration matching can only immunize portfolios from parallel shifts in the yield curve.
• C) immunization only protects the nominal value of terminal liabilities and does not allow for inflation adjustment.
• D) both a and c are true.
• E) all of these are true.

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