A banks portfolio has the following assets: -182-day T-bills = 11%, 11-year zero-coupon bond = 29%, 18-year
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Question:
A bank’s portfolio has the following assets:
-182-day T-bills = 11%, 11-year zero-coupon bond = 29%, 18-year zero-coupon bond =19%,
-T-bond portfolio with a duration of 3 years = 26%, and the balance amount in Cash.
Required: What is the duration of this portfolio?
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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