Question
A portfolio has a Macaulay duration of 15.8368 years and have the following assets all yielding at an annual effective rate of 5%: (a) one
A portfolio has a Macaulay duration of 15.8368 years and have the following assets all yielding at an annual effective rate of 5%:
(a) one 10-year annuity immediate with level payment X;
(b) one perpetuity immediate with level payment 0.8X;
(c) one 30-year $1,000 par value bond with annual coupon rate of 5%. Calculate X.
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The Pricing Strategy Audit
Authors: Kent B. Monroe
1st Edition
1907766006, 978-1907766008
