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24 Problem 2 o You are managing a bond portfolio of $1 million. Your target duration is 10 years, and you can choose from two

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24 Problem 2 o You are managing a bond portfolio of $1 million. Your target duration is 10 years, and you can choose from two bonds: a zero bond with maturity of 5 years, and a perpetuity, each currently yielding 5%. (1) How much of each bond will you hold in your portfolio? (2) How will these fractions change next year if target duration is now 9 years? 12/2018 27/28 Bond Portfolio Management JZ (SHU)

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