Question
You want to immunise a liability occurring in 10 years with two bonds: bond A has a maturity of 2.5 years and duration of 2
You want to immunise a liability occurring in 10 years with two bonds: bond A has a maturity of 2.5 years and duration of 2 years; bond B has a maturity of 12.5 years and duration of 12 years. The weights of the portfolio invested in bond A, respectively B are:
- 120% in A, -20% in B
- 120% in A, -20% in B
- 55% in A, 45% in B
- 55% in A, 45% in B
- I do not want to answer this question
- I do not want to answer this question
- 20% in A, 80% in B
- 20% in A, 80% in B
- 30% in A, 70% in B
- 30% in A, 70% in B
- 25% in A, 75% in B
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The Changing Geography Of Banking And Finance
Authors: Pietro Alessandrini ,Michele Fratianni ,Alberto Zazzaro
1st Edition
1441947205, 978-1441947208
