问题如下：
Which of the following statements is correct regarding the effects of interest rate shift on fixed-income portfolios with similar durations?
选项： A
barbell portfolio has greater convexity than a bullet portfolio because
convexity increases linearly with maturity.
A barbell portfolio has greater convexity than a bullet portfolio because convexity increases with the square of maturity.
C.A barbell portfolio has lower convexity than a bullet portfolio because convexity increases linearly with maturity.
D.A barbell portfolio has lower convexity than a bullet portfolio because convexity increases with the square of maturity.
解释：
ANSWER: B
The statement compares two portfolios with the same duration. A barbell portfolio consists of a combination of short-term and long-term bonds. A bullet portfolio has only medium-term bonds. Because convexity is a quadratic function of time to wait for the payments, the long-term bonds create a large contribution to the convexity of the barbell portfolio, which must be higher than that of the bullet portfolio.
久期相同的前提下，不是应该现金流更分散的barbell的maturity更长吗？那么convexity和maturity的平方关系不是应该更大吗?为什么不选D？
