Do you agree with the statement “Let a fixed income portfolio which has a duration equal to zero. This portfolio is subject to no interest rate risk.”

Duration measures how sensitive the price of a bond is wrt to interest rates.

Duration is how long it takes for an investor to be repaid the bond's price by the bond's total cash flows.

The interest rate risk of a bond is directly proportional to its duration

The lower the duration of a bond, the lower will be the interest rate risk.

Hence a bond with zero duration has no interest rate risk associated with it