Assuming the following, what are the excess returns relative to duration for A and B rf 4 5 (A) 10 1, 7 9 (B) 7 9, 10 1 (C) 9 3, 6 6 (D) 8 9, 5 8 (E) 5 8, 8 9 Portfolio Portfolio Portfolio Market return ( ) duration duration (years) (years) AB B 10 220 10 6 5 6...

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Assuming the following, what are the excess returns relative to duration for A and B? rf =

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Assuming the following, what are the excess returns relative to duration for A and B?

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rf = 4.5%

(A) 10.1, 7.9

(B) 7.9, 10.1

(C) 9.3, 6.6

(D) 8.9, 5.8

(E) 5.8, 8.9

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Portfolio Management In Practice

ISBN: 9780080480084

1st Edition

Authors: Christine Brentani

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Question Posted: May 23, 2024 02:01 AM

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Assuming the following, what are the excess returns relative to duration for A and B? rf =

Question:

Portfolio Portfolio Portfolio Market return (%) duration duration (years) (years) AB B 10 220 10 6 5 6

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Portfolio Management In Practice

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