Which of the following statements about duration, convexity and portfolio immunization are correct? I. Duration measures the effect of a small parallel shift in the yield curve. II. Duration plus convexity measures the effect of all shape changes in the yield curve. III. Setting its duration to zero can immunize a portfolio against small parallel shifts in the yield curve. IV. Setting its duration and convexity to zero can protect against relatively large parallel shifts in the yield curve. Select one: a. I and II b. III and IV Oc. I, II, and III d. I, III and IV O e. All of them