Question
A bank has three assets: It as $80 million invested in consumer loans with a three-year duration, $40 million invested in T-bonds with a 15-year
A bank has three assets: It as $80 million invested in consumer loans with a three-year duration, $40 million invested in T-bonds with a 15-year duration, and $30 million in six- month maturity T-bills. Calculate the duration of the bank's portfolio in years. Answer in four decimal places.
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Financial Markets And Institutions
Authors: Jeff Madura
6th Edition
0324162618, 978-0324162615
