f. compute the duration of a portfolio, given the duration of the bonds comprising
the portfolio, and explain the limitations of portfolio duration;
duration writeup
http://www.treasurer.ca.gov/cdiac/publications/duration.pdf
Duration, Convexity, and Other Bond Risk Measures By Frank J. Fabozzi
http://books.google.co.in/books?id=7i6ob9SB5jgC&pg=PA6&lpg=PA6&dq=%22duration+of+a+portfolio%22&source=web&ots=ZmSpP6g2Ks&sig=Jgf-3gdgb2O47YENTrQvTtwJ-OI&hl=en
Osborne, Mike J., "A Simple, Accurate Formula for the Duration of a Portfolio of Bonds Under a Non-Parallel Shift of a Non-Flat Yield Curve" (September 5, 2004). Available at SSRN:
http://ssrn.com/abstract=587242
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