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The current yield is y=4%, and a portfolio manager has a bond position worth $500 million. The manager is concerned with interest rate risk. To
The current yield is y=4%, and a portfolio manager has a bond position worth $500 million. The manager is concerned with interest rate risk. To understand the portfolio sensitivity to interest rate risk, the manager uses a linear regression to regress the portfolio return, P/P, on the change in yields, y. This is conducted using a daily data sample of 4 years. The regression results are reported in the table below. What is the portfolio Macaulay duration?| (a) 9.683 (b) 6,656.178 (c) 9.683 (d) 10.071
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