Question
A manager is holding a bond portfolio worth $3 million with a modified duration of 6 years. She would like to hedge the risk of
A manager is holding a bond portfolio worth $3 million with a modified duration of 6 years. She would like to hedge the risk of the portfolio by short-selling Treasury bonds. The modified duration of T-bonds is 8 years. How many dollars' worth of T-bonds should she sell to minimize the variance of her position?
Dollars Worth of T-Bonds to be Sold = ?
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Practical Financial Management
Authors: William R. Lasher
8th edition
1305637542, 978-1305887237, 1305887239, 978-1305637542
