A portfolio manager evaluate the risk of a two bond portfolio Price Modified Duration Number Held $100 30 year bond 10 year bond $100 13 84 7 44 5,000 5,000 We assume that specific risk is negligible and that the volatility of changes in market yields is 29 basis points Under these conditions, wha...

Portfolio volatility Variance aS 1 bS 2 12 Where a the portfolio weight of ...

A portfolio manager evaluate the risk of a two-bond portfolio: Price Modified Duration Number Held $100...

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A portfolio manager evaluate the risk of a two-bond portfolio: Price Modified Duration Number Held $100

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