Question
The components of a bond portfolio are listed below: Bond Market value (000s) Duration 1 554 3.37 2 713 3.21 3 690 5.7 4 598
The components of a bond portfolio are listed below:
| Bond | Market value (000s) | Duration |
| 1 | 554 | 3.37 |
| 2 | 713 | 3.21 |
| 3 | 690 | 5.7 |
| 4 | 598 | 3.05 |
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?
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Social Finance Shadow Banking During The Global Financial Crisis
Authors: Neil Shenai
1st Edition
3030082318, 978-3030082314
