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A portfolio manager evaluate the risk of a two-bond portfolio: Price Modified Duration Number Held $100 30-year bond 10-year bond $100 13.84 7.44 5,000
A portfolio manager evaluate the risk of a two-bond portfolio: Price Modified Duration Number Held $100 30-year bond 10-year bond $100 13.84 7.44 5,000 5,000 We assume that specific risk is negligible and that the volatility of changes in market yields is 29 basis points. Under these conditions, what is the volatility of the portfolio value?
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Portfolio volatility Variance aS 1 bS 2 12 Where a the portfolio weight of ...
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Corporate Finance
Authors: Jonathan Berk and Peter DeMarzo
3rd edition
978-0132992473, 132992477, 978-0133097894
