问

问题如下：

Which of the following statements about the limitation of portfolio duration is not true?

选项：

A.

The measure of portfolio duration assumes a nonparallel shift in the yield curve.

B.

In reality, interest rate changes frequently result in a steeper or flatter yield curve.

C.

The measure of portfolio duration assumes that all rates change by the same amount in the same direction.

解释：

A is correct.

The limitation of portfolio duration is that the measure of portfolio duration implicitly assumes a parallel shift in the yield curve, which implies that all rates change by the same amount in the same direction. In reality, interest rate changes frequently result in a steeper or flatter yield curve.

考点：portfolio duration

解析：portfolio duration的缺陷是假设收益率曲线是平行移动，忽略了收益率曲线的非平行移动。故选项A说法不正确，当选。