2. To create a portfolio with a duration of 4 years using a 5 year zero...

2. To create a portfolio with a duration of 4 years using a 5 year zero coupon bond and a 2 year 6% annual coupon bond with a yield to maturity of 8%, one would have to invest______ of the portfolio value in the zero coupon bond.

Expert Solution

jeff jeffy answered 6 months ago

The McCauley’s duration of a 5-year zero-coupon bond yielding 4% is ________ years and the modified...

The McCauley’s duration of a 5-year zero-coupon bond yielding 4% is ________ years and the modified duration of a 5-year zero-coupon bond yielding 4% is ________ years.

The 1-year, 2-year, 3-year and 4-year zero rates are 2%, 3%, 4% and 5% per annum...

The 1-year, 2-year, 3-year and 4-year zero rates are 2%, 3%, 4% and 5% per annum (APR) with quarterly compounding/payment. a) What are the corresponding per annum zero rates with continuous compounding? b) What is today’s forward rate for an investment initiated one year from today and maturing 3 years from today? (Give your answer per annum with continuous compounding)? c) What is today’s forward rate for a one-year investment initiated three years from today? (Give your answer per annum with continuous...

What is the Macaulay’s Duration of a portfolio of bonds that invests 40% in a 5-year...

What is the Macaulay’s Duration of a portfolio of bonds that invests 40% in a 5-year zero coupon bond with a par of $100 and 60% in a 3 year, 5% coupon interest bond (p.a.), with a par of $100. Assume Yield to Maturity is 8% p.a.? *Please assist with a worked answer

Calculate the duration for each of following bonds or portfolio in (1)-4) and answer question (5)....

Calculate the duration for each of following bonds or portfolio in (1)-4) and answer question (5). A 10-year bond with 8% annual coupon and 8% yield to maturity. PLEASE EXPLAIN HOW YOU GOT EACH A 30-year bond with 2% annual coupon and 8% yield to maturity. 100-year bond with 9% annual coupon and 8% yield to maturity portfolio of bond (1) and (2), with 30.71% invested in bond (1) and 69.29% in bond (2). (Hint: Duration of a portfolio equals...

4. You are managing a bond portfolio of $1 million. Your target duration is 10 years,...

4. You are managing a bond portfolio of $1 million. Your target duration is 10 years, and you can invest in two bonds, a zero-coupon bond with maturity of five years and a zero-coupon bond with maturity of 15 years, each currently yielding 5%. (1) What are your weights in these two zero-coupon bonds to have the target duration? (2) How will these factions change next year if the target duration is still ten years? .

What is the duration of a 2 year zero-coupon bond that is yielding 11.5 percentage? use...

What is the duration of a 2 year zero-coupon bond that is yielding 11.5 percentage? use $1000 as the face value

Activity Duration(hours) Depends on : Numbers of workers A 5 4 B 2 2 C 4...

Activity Duration(hours) Depends on : Numbers of workers A 5 4 B 2 2 C 4 5 D 6 A,B 1 E 2 A,B,C 6 F 2 B,C 3 G 5 F 4 H 8 E,F 2 I 3 G 7 J 5 H,I 3 K 6 J 4 L 8 I 3 Calculate a lower bound for the number of workers required to complete the project in 26 days. [2 ????] Use the precedence table to draw an activity-on-arc...

Portfolio A consists of a 2-year zero-coupon bond with a face value of $8,000 and a...

Portfolio A consists of a 2-year zero-coupon bond with a face value of $8,000 and a 10-year zero-coupon bond with a face value of $2,000. The current yield on all bonds is 11.75% per annum. (Answer with two decimal digits accuracy) The duration of portfolio A is

Portfolio Alpha contains a 5-year zero-coupon bond with a face value of $5,000 and a 9-year...

Portfolio Alpha contains a 5-year zero-coupon bond with a face value of $5,000 and a 9-year zero-coupon bond with a face value of $6,050. Portfolio Beta is composed of only a 7-year zero-coupon bond with a face value of $10,000. The current yield on all three bonds is 5% per annum. Show that both portfolios have the same duration. What percentage changes in the two portfolio values would result from all three yields jumping to 7.5% per annum?

Outpatient Therapy Center Financial Proforma-Years Year Year Year Year Year 1 2 3 4 5 5...

Outpatient Therapy Center Financial Proforma-Years Year Year Year Year Year 1 2 3 4 5 5 Yr Total # OF VISITS 2,268 2,940 3,533 3,974 4,783 17,498 Revenue Gross Revenue 907,200 1,223,040 1,528,625 1,787,971 2,238,056 7,684,893 Contractual Allowance (544,320) (726,486) (898,694) (1,040,114) (1,287,900) (4,497,514) NET REVENUE $362,880 $496,554 $629,931 $747,857 $950,157 $3,187,379 Direct Expenses Rent 96,000 98,000 100,000 102,000 104,000 500,000 Common Area Maintenance Charges 24,000 25,200 26,460 27,783 29,172 132,615 Start Up Costs Depreciation 7,143 14,286 14,286 14,286 14,286...

Question