Question
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
jeff jeffy answered 2 years agoRelated Solutions
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a. Suppose Emma holds a well-diversified stock portfolio. Her son, Andrew, who is a portfolio manager,...
a. Suppose Emma holds a well-diversified stock portfolio. Her
son, Andrew, who is a portfolio manager, has just advised her not
to invest in stocks of oil refining industry because their prices
tend to have much higher volatility relative to other stocks. Is
Andrew’s advice sound? Explain.
a. Suppose Emma holds a well-diversified stock portfolio. Her son, Andrew, who is a portfolio manager,...
a. Suppose Emma holds a well-diversified stock portfolio. Her
son, Andrew, who is a portfolio manager, has just advised her not
to invest in stocks of oil refining industry because their prices
tend to have much higher volatility relative to other stocks. Is
Andrew’s advice sound? Explain.
b. Karen currently has $5 million invested in a long-term bond
fund which has an expected return of 7% and a standard deviation of
18%. Her son, Michael, recommends her to consider changing...
a. Suppose Emma holds a well-diversified stock portfolio. Her son, Andrew, who is a portfolio manager,...
a. Suppose Emma holds a well-diversified stock portfolio. Her
son, Andrew, who is a portfolio manager, has just advised her not
to invest in stocks of oil refining industry because their prices
tend to have much higher volatility relative to other stocks. Is
Andrew’s advice sound? Explain.
b. Karen currently has $5 million invested in a long-term bond
fund which has an expected return of 7% and a standard deviation of
18%. Her son, Michael, recommends her to consider changing...
Q2 (Essential to cover) Suppose the following bonds are trading in the market. Bond Time-to-Maturity Face...
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