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Assume an investor holds a portfolio of bonds as follows: EUR 6.000.000 nominal of 10 year bonds with a duration of 8.05 years priced at
Assume an investor holds a portfolio of bonds as follows: EUR 6.000.000 nominal of 10 year bonds with a duration of 8.05 years priced at 94% (dirty price) EUR 7.000.000 nominal of 12 year bonds with a duration of 10.4 years priced at 88.10% (dirty price) EUR 1.000.000 nominal of 30 year bonds with a duration of 22.50 years priced at 115.5% (dirty price) The duration of the portfolio is closest to: (1 point) Select one: a. 12.60 years b. 11.20 years c. 10.80 years d. 10.45 years
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