A manager is holding a $1 million bond portfolio with a modified duration of 8 years She would like to hedge the risk of the portfolio by short selling Treasury bonds The modified duration of T bonds is 10 years How many dollars ' worth of T bonds should she sell to minimize the variance of her pos...

She must sell million of Tbonds Bonds like any other security experience market f ...

A manager is holding a $1 million bond portfolio with a modified duration of 8 years. She

Question:

A manager is holding a $1 million bond with a modified duration of 8 years. She would like to hedge the risk of the by short-selling Treasury bonds. The modified duration of T-bonds is 10 years. How many dollars' worth of T-bonds should she sell to minimize the variance of her position?
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...