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PORTFOLIO A : $100mm notional of 5-year Treasury notes Suppose that as a way to protect against higher yields the manager of PORTFOLIO A added
PORTFOLIO A: $100mm notional of 5-year Treasury notes
Suppose that as a way to protect against higher yields the manager of PORTFOLIO A added a 3-month at-the-money put option on the $100mm notional of 5-year Treasury notes. Why does this overlay make the distribution of market value changes more asymmetric? Is this asymmetry in the portfolios favor?
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