Question
A firm has $20,000,000 in assets and $8,000,000 in equity. The assets have an average duration of 12 years. It has two investment choices: a
A firm has $20,000,000 in assets and $8,000,000 in equity. The assets have an average "duration" of 12 years. It has two investment choices: a zero-coupon bond yielding 3 percent and maturing in 14 years, and a 99-year bond yielding and paying 4 percent. In order to immunize the firm from interest rate risk, what amounts in each do you recommend?
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Fundamentals Of Futures And Options Market
Authors: John C. Hull
6th Edition
0132242265, 9780132242264
