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(Solved) (Latest ver. Aug 2020) - Key rate duration of portfolio

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1a- A bond portfolio consists of the following debt securities:
Bond 1:3-year, zero-coupon note; $1,200,000 holdings
Bond 2:7-year, zero-coupon note; $1,500,000 holdings
Bond 3:10-year, zero-coupon note; $1,650,000 holdings
Bond 4:25-year, zero-coupon bond; $1,000,000 holdings

The key rate duration of the portfolio is closest to
a.10.22
b.10.39
c.11.15
d.11.25

1b-The portfolio in Question 1a, most closely resembles a
a.Ladder portfolio
b.Barbell portfolio
c.Bullet portfolio
d.Structured portfolio

2a.The modified duration for a 2-year Treasury note with a 6 percent coupon and selling for 107-5/8 is closest to
a.1.89
b.1.92
c.2.00
d.3.84

2b.If the Macaulay duration of a bond is 7, the convexity is 36, and the YTM is 5.2 percent the total percentage change in price to a 165 basis points decrease in market interest rates is closest to
a.? -12.22
b.-10.26
c.10.26
d.12.22

2c.Pension funds generally adhere most closely to
a.The pure expectations theory
b.The preferred habitat theory
c.The market segmentation theory
d.The liquidity theory

 







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