Question
17. Consider the following portfolio: Bond Normal Market Value Duration (years) W $13 million 2 X $27 million 7 Y $60 million 8 Z
17. Consider the following portfolio: Bond Normal Market Value Duration (years) W $13 million 2 X $27 million 7 Y $60 million 8 Z $40 million 14 (a) What is the portfolio's duration? (b) If interest rates for all maturities change by 50 basis points, what is the approximate percentage change in the value of the portfolio? (c) What is the contribution to portfolio duration for each bond?
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
