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Which of the following statements about bond portfolio management is least accurate? A. To increase the duration of a bond portfolio through futures, the portfolio manager should sell futures contracts. B. A portfolio managers sold a floor to finance the purchase of a cap in anticipation of higher interest rates on a floating-rate liability. C. A portfolio manager with a $50 million face value in bonds and a futures contract with $100,000 face value should use 500 futures contracts according to the Face Value Naive model. |