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You have a portfolio consisting of $2.3M of an 8-year bond and $4.9M of a 10-year annuity. (These are market values.) The bond has duration
You have a portfolio consisting of $2.3M of an 8-year bond and $4.9M of a 10-year annuity. (These are market values.) The bond has duration D1=7.5 and the annuity has duration D2=4.63, measured with respect to the BEY.
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To calculate the duration of a portfolio consisting of two assets you can use the weighted a...
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Intermediate Financial Management
Authors: Eugene F. Brigham, Phillip R. Daves
11th edition
978-1111530266
