A. 0.68.
B. 2.17.
C. 0.43.
It says the Answer is C…
From the answer sheet:
Answer = C
The duration of the German bonds is 3.5, and the country beta is estimated to be 0.62 relative to the United States. The duration contribution to a US domestic portfolio is 3.50 × 0.62 = 2.17. Because a portfolio’s duration is a weighted average of the duration of the bonds in the portfolio, the contribution to the portfolio’s duration is equal to the adjusted German bond duration of 2.17 multiplied by its weight in the portfolio: 2.17 × 0.20 = 0.43.