Is this correct: we can sum the portfolio’s key rate durations to get portfolio duration.
Do we just simply sum them up? Or should take the weighted average?
Is this correct: we can sum the portfolio’s key rate durations to get portfolio duration.
Do we just simply sum them up? Or should take the weighted average?
Sum
I think money duration using weighted average.
it does not
I remember it is on level 2.
Key rate durations are already weighted so don’t weight just sum.
However: I think for calculating portfolio duration from the individual durations you have to weight. How else?