Prove the formula for the duration of a portfolio Consider n fixed income securities with prices P and Macaulay durations Di, respectively, all computed at a common yield The portfolio of these securities has price P 1 P and duration where wi is the weight of security i n D wD i 1 Prove the formul...

The formula for the duration of a portfolio states that the portfolios duration is equal to the weighted average of the durations of the individual se ...

Prove the formula for the duration of a portfolio: Consider n fixed-income securities with prices P;...

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Prove the formula for the duration of a portfolio: Consider n fixed-income securities with prices P; and

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Fixed Income Analysis

ISBN: 9781119850540

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Authors: Barbara S. Petitt

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Posted Date: Dec 20, 2023 05:18 AM

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Prove the formula for the duration of a portfolio: Consider n fixed-income securities with prices P;...

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Fixed Income Analysis

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