Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

The components of a bond portfolio are listed below: Bond Market value ( 0 0 0 s ) Duration 1 6 4 3 4 .

The components of a bond portfolio are listed below:
Bond Market value (000s) Duration
16434.33
27785.06
35604.51
47553.15
The target portfolio dollar duration is $100K. If you want to maintain the same proportions of the assets in the portfolio while rebalancing it to target duration, what will be dollar change in the size of the resulting portfolio?
(Note that it can be negative or positive, depending on whether you need dollar duration to increase or decrease to reach the target.)
Correct Answer
-382,394.92 margin of error +/-1%
You need to scale the portfolio up or down until its dollar duration is equal to 100k.Need the correct Excel Forumula that gets the ANSWER -382,394.92

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Analysis For Financial Management

Authors: Robert C. Higgins

5th Edition

0256167036, 9780256167030

More Books

Students also viewed these Finance questions

Question

What is the role of cognition and thought in learning?

Answered: 1 week ago

Question

What reward policy would you suggest to the university?

Answered: 1 week ago