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5. Consider the following portfolio: Duration A 1.50 B 2.25 C D 4.35 5.15 (1) What is the market value of the portfolio? Market
5. Consider the following portfolio: Duration A 1.50 B 2.25 C D 4.35 5.15 (1) What is the market value of the portfolio? Market Value $35 million $65 million $72.5 million $88.25 million (2) What is the contribution to portfolio duration for each bond? (3) What is the portfolio's duration? (4) What is the percentage price change if interest rate were to fall 125 basis points considering only duration? (5) What is the estimated price with 125 basis points decrease in yield?
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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
