Consider the following portfolio of four bonds: Bond Years to K L Maturity 3 6 10 15 Annual Coupon 5% Yield to Maturity 4% Proportion in Portfolio 0.5 0% 4% M 0% 4% N 0% 4% What is the modified duration of this portfolio (round your answer to two decimal places)? 0.3 0.1 0.1

Consider the following portfolio of four bonds: Bond Years to K L Maturity 3 6 10 15 Annual Coupon 5% Yield to Maturity 4% Proportion in Portfolio 0.5 0% 4% M 0% 4% N 0% 4% What is the modified duration of this portfolio (round your answer to two decimal places)? 0.3 0.1 0.1

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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Question

Consider the following portfolio of four bonds:
Bond
Years to
Annual
Coupon
5%
0%
4%
0%
4%
N
0%
4%
What is the modified duration of this portfolio (round your answer to two decimal places)?
K
L
M
Maturity
3
6
10
15
Yield to
Maturity
4%
Proportion in
Portfolio
0.5
0.3
0.1
0.1

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