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In: Finance

A manager of an insurance company’s bond trading desk holds the following portfolio: 3 year maturity...

A manager of an insurance company’s bond trading desk holds the following portfolio: 3 year maturity 15% 8 year maturity 40% 10 year maturity 30% 12 year maturity 15% What is the duration of this portfolio?

Solutions

Expert Solution

Duration of Portfolio =3*15%+8*40%+10*30%+12*15% =8.45 years
Duration of portfolio =8.45 years


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