Suppose you work for a pension fund that is funded with a liability with a duration of
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Suppose you work for a pension fund that is funded with a liability with a duration of 15 years. The fund has invested in various bonds with a weighted average duration of 15 years and as such it is fully immunized. As the new bond portfolio manager, what asset adjustments would you make to the existing investment portfolio to protect against a parallel shift in interest rates?
Related Book For
International Business and the New Realities
ISBN: 978-0136090984
2nd Edition
Authors: S. Tamer Cavusgil, Gary Knight, John R. Riesenberger
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