The portfolio’s Macaulay duration of approximately 4.0 matches the time horizon of the liability and can be calculated as follows:
[(Portfolio weightBond 1 × DurationBond 1) + (Portfolio weightBond 2 × DurationBond 2) + (Portfolio weightBond 3 × DurationBond 3)] ÷ 3 = 3.99.
I can’t understand why this formula divides 3 again after applying weights…