Can someone please explain why portfolio dollar duration is a simple addition of the dollar duration of portfolio assets, not a weighted-average?
Because the dollar duration of each asset already incorporates the market value.
Would it be possible to do a rebalancing ratio of the weighted durations rather than on the dollar amounts?
I don’t know if it’s mathematically the same, though… but it would save us some time.
Same thing.
And it would likely take a bit longer, because you have to divide each market value by the total market value to get the weight, something you don’t have to do with dollar duration.
That’s true. Thanks magician.
You’re welcome.