Total expected return - expected duration vs current duration
EOC questions for reading 23 yield curve strategies, question 14.
Task is to calculate the components of total expected return of a portfolio. One component is the expected change in price based on yield view. So far so clear. In the mentioned question, to calculate we have the current as well as expected effective duration given. From the answer and also from the CFA text it seems that we always have to take the expected effective duration (and also convexity) for the portfolio (at the horizon), but there is no eleboration on why.
Is my understanding true and does somebody have an explanation?
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