plan: qarket of assets $300 million, projected value of liabilities - $450 million, liability duration (i.e., duration of liabilities) 10. If the portfolio manager wants to hedge interest-rate risk, what should be the duration of her portfolio? 13 12 15 22

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter12: The Cost Of Capital
Section: Chapter Questions
Problem 10QTD
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Consider the following DB pension plan: market value of assets $300 million, projected value of liabilities = $450 million, liability duration (i.e., duration of liabilities) = 10. If the
portfolio manager wants to hedge interest-rate risk, what should be the duration of her portfolio?
13
12
15
14
0000
Transcribed Image Text:= Consider the following DB pension plan: market value of assets $300 million, projected value of liabilities = $450 million, liability duration (i.e., duration of liabilities) = 10. If the portfolio manager wants to hedge interest-rate risk, what should be the duration of her portfolio? 13 12 15 14 0000
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