You have a portfolio consisting of $2.3M of an 8-year bond and $4.9M of a 10-year annuity.

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You have a portfolio consisting of $2.3M of an 8-year bond and $4.9M of a 10-year annuity. (These are market values.) The bond has duration D1=7.5 and the annuity has duration D2=4.63, measured with respect to the BEY.

What is the duration of your portfolio?

Related Book For answer-question

Intermediate Financial Management

ISBN: 978-1111530266

11th edition

Authors: Eugene F. Brigham, Phillip R. Daves

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Posted Date: Sep 16, 2023 10:46 PM

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You have a portfolio consisting of $2.3M of an 8-year bond and $4.9M of a 10-year annuity.

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To calculate the duration of a portfolio consisting of two assets you can use the weighted a... View the full answer

Intermediate Financial Management

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