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a university endowment fund has sought your advice on its fixed income portfolio strategy. the characteristics of the portfolios current holdings are listed below calculate
a university endowment fund has sought your advice on its fixed income portfolio strategy. the characteristics of the portfolios current holdings are listed below
calculate the modified duration for this portfolio. do not round intermediate calculations round your answer to three decimal places.
Problem 13-10 A university endowment fund has sought your advice on its fixed-income portfolio strategy. The characteristics of the portfolio's current holdings are listed below: Bond Credit Rating U.S. Govt. A AL 9 CODE Maturity Coupon Modified Market Value (yrs.) Rate (%) Duration Convexity of Position 3 0 2.724 9.9 $33,000 10 6.204 56.3 33,000 11 3.604 18.5 33,000 7 9 4.868 32.2 33,000 12 10.909 128.7 33,000 $165,000 Aa2 5 Agency 0 a. Calculate the modified doration for this portfolio (e., Mod Dp). Do not round intermediate calculations or your answer to three decimal places YANStep by Step Solution
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