Consider the following bond portfolio: a ) What is the bond portfolio's duration? b ) If the bond portfolio duration is 6.95 years, calculate the capital loss on this portfolio when the yield increases from 10 to 12 percent. c ) Suppose the portfolio is immunized over an investment horizon of 6.95 years. Determine the value of the portfolio at the end of this investment horizon.

Answer rating: 100% (QA)

a The duration of a bond portfolio is a measure of the portfolios sensitivity to interest rate chang... View the full answer