Govin two zero coupon bonds in a 50-50. Portfolio one maturig in 3 another in 5 years.

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What will be the performance using convexity duration if the yield drops 50 bps?

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Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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Posted Date: Jun 10, 2023 07:49 AM

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Govin two zero coupon bonds in a 50-50. Portfolio one maturig in 3 another in 5 years.

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To calculate the performance of a bond portfolio using convexity and duration we need the following information 1 The initial yieldtomaturity YTM of t... View the full answer

Investments

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