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Duration approximation. The effective duration of the pool was reported by the state auditor as 7.4 years in December 1994. Suppose the Orange county did

Duration approximation.

The effective duration of the pool was reported by the state auditor as 7.4 years in December 1994. Suppose the Orange county did not liquidate the portfolio worth $7.5 billon. In 1995, interest rates went down by about 2.5%. Compute the change of portfolio value predicted by the duration approximation.

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