(a) How is the short-end duration of a portfolio computed? (b) How is the long-end duration of...
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(b) How is the long-end duration of a portfolio computed?
(c) How is the short end and long end of a portfolio defined?
(d) Suppose that the SEDUR of a portfolio is 3. What is the approximate change in the portfolio’s value if the slope of the short end of the yield curve changed by 25 basis points? Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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a The shortcoming of duration is that this measure may be inadequate in measuring how a securitys price or a portfolios value will change when interest rates do not change in a parallel manner This is ...View the full answer
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