If the target duration for a portfolio is greater than the current portfolio duration, how can the

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If the target duration for a portfolio is greater than the current portfolio duration, how can the portfolio manager use:

a. Treasury bond futures contracts to alter the portfolio’s duration so as to bring it in line with the target duration?

b. Interest rate swaps to increase the portfolio’s duration so as to bring it in line with the target duration?

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The Theory And Practice Of Investment Management

ISBN: 9780470929902

2nd Edition

Authors: Frank J Fabozzi, Harry M Markowitz

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Question Posted: Dec 19, 2023 01:34 AM

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If the target duration for a portfolio is greater than the current portfolio duration, how can the

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The Theory And Practice Of Investment Management

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