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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 ...


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.

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