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Lucas, a hedge fund manager, currently holds a $300-million portfolio with the duration of 10 years. Lucas plans to add $500 million in new
Lucas, a hedge fund manager, currently holds a $300-million portfolio with the duration of 10 years. Lucas plans to add $500 million in new securities to the portfolio to shorten the duration of the portfolio to 6 years. What is the duration of the 500 million in new securities? 3.60 years. 2.00 years. 3.20 years. 4.00 years.
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
