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14-9 A manager is holding a bond portfolio worth $16 million with a modified duration of 11 years. She would like to hedge the risk
14-9
A manager is holding a bond portfolio worth $16 million with a modified duration of 11 years. She would like to hedge the risk of the portfolio by short-selling Treasury bonds. The modified duration of T-bonds is 12 years. How many dollars" worth of T-bonds should she sell to minimize the variance of her position? (Enter your answer In dollers not milllons rounded to the nearest doller value.)Step by Step Solution
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