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Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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
Transcribed Image Text:Consider the following bond portfolio:
Coupon
Bond
Value
Maturity
Yield
A
$300 million
3 years
0%
10%
В
300
4
6.
10
400
8
10
a) What is the bond portfolio's duration?
b) Calculate the capital loss on this portfolio if the yield increases from 10 to 12 percent.
c) Suppose the portfolio is to be immunized over an investment horizon of approximately
5.19 years. Determine the market value of the immunized portfolio at the end of 5.19
years.
4.
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