Assume you manage a bond portfolio. The dollar duration of the portfolio is -60000. An instrument is traded with dollar duration equal to 1,280. To make the portfolio duration neutral byou need to trade this many units of the hedging instrument. Answer approximate to the closest interger. Use negative sign if its a short sell.
Assume you manage a bond portfolio. The dollar duration of the portfolio is -60000. An instrument is traded with dollar duration equal to 1,280. To make the portfolio duration neutral byou need to trade this many units of the hedging instrument. Answer approximate to the closest interger. Use negative sign if its a short sell.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Assume you manage a bond portfolio. The dollar duration of the portfolio is -60000. An instrument is traded with dollar duration equal to 1,280. To make the portfolio duration neutral byou need to trade this many units of the hedging instrument. Answer approximate to the closest interger. Use negative sign if its a short sell.
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