A banks portfolio has the following assets: -182-day T-bills = 11%, 11-year zero-coupon bond = 29%, 18-year

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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 answer-question

Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Posted Date: Feb 14, 2022 03:08 PM

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A banks portfolio has the following assets: -182-day T-bills = 11%, 11-year zero-coupon bond = 29%, 18-year

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Financial Institutions Management A Risk Management Approach

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