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Duration is not linear. It is the weighted average of the duration of the underlyings with the weightings being their values. To get a linear system multiply the durations by the associated pvs and match that quantity instead.


If two or more (I(1)) time series are cointegrated, then this means that you can find a linear combination of them that is mean-reverting. Thus, if you create a portfolio with weights that are proportional to this linear combination, then the portfolio returns will also be mean-reverting. There is a large literature on cointegration and asset prices and ...

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