You have a portfolio consisting of assets and liabilities. Your assets have a value today of $60,835 and a duration of 6.5 years. Your liabilities consist of 500 three-year zero-coupon government bonds each with a face value of $100. Assume the yield curve is flat and currently at the level of 4%. What will be the change in the value of your portfolio if interest rates increase from the current level of 4% to a level of 4.75%?

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