Suppose for a given portfolio that key rate changes are considered to be changes in the yield on 1 year, 5 year, and 10 year securities Estimated key rate durations are KeyDur 1 0 50, KeyDur 2 0 70, and KeyDur 3 0 90 What is the percentage change in the value of the portfolio if a parallel shift in the yield curve results in all yields declining by 50 bps A 1 05 B 1 05 C 2 10

Question: Suppose for a given portfolio that key rate changes are considered to be changes in the yield on 1-year, 5-year, and 10-year securities. Estimated key

Suppose for a given portfolio that key rate changes are considered to be changes in the yield on 1-year, 5-year, and 10-year securities. Estimated key rate durations are KeyDur₁ = 0.50, KeyDur₂ = 0.70, and KeyDur₃ = 0.90. What is the percentage change in the value of the portfolio if a parallel shift in the yield curve results in all yields declining by 50 bps?

A. ‒1.05%.

B. +1.05%.

C. +2.10%.

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