Your bond portfolio consists of $90 million worth of Treasury STRIPS with 7 years to maturity, and $90 million of Treasury notes with a Macaulay duration of 5 years. The term structure is flat, and all spot rates are 3%. What is the modified duration of your portfolio?

Suppose the yield curve is initially flat at 4%. You hold a $75M short position in 5-year Zeros. Which additional position in 2-year Zeros would immunize your portfolio against parallel shifts in the yield curve? Assume the rest of your portfolio is held in cash.

An investment manager holds pounds 1000M in 10-year Treasury notes. She plans to decrease 4 the duration of her portfolio by selling pounds 12M of these Treasury notes and purchasing pounds12M of other bonds to replace them. Which of the following purchases would lower her overall bond portfolio's duration by the most?

(PYPL) stock. Suppose the volatilities (standard deviations) of nasa company and Pepsi company stock returns are 60.00% and 40.00%, respectively. If the correlation between nasa and pepsi returns is 0.250, what is the volatility of this portfolio rounded to the nearest basis point?

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