Portfolio BB has a dollar duration of 90,000 and a market value of $3 million. Suppose that one year later the yield curve shifted upward, which consequently decreased the dollar duration to 65,000 and decreased the market value to $2.5 million. What is the portfolio's rebalancing ratio and total increase in portfolio value required to readjust the portfolio back to its original dollar duration? o Rebalancing ratio=D1.23; Dollar adjustment $575,000; o Rebalancing ratio=D0.62; Dollar adjustment $950,000; O Rebalancing ratio=1.38; Dollar adjustment $950,000;

Portfolio BB has a dollar duration of 90,000 and a market value of $3 million. Suppose that one year later the yield curve shifted upward, which consequently decreased the dollar duration to 65,000 and decreased the market value to $2.5 million. What is the portfolio's rebalancing ratio and total increase in portfolio value required to readjust the portfolio back to its original dollar duration? o Rebalancing ratio=D1.23; Dollar adjustment $575,000; o Rebalancing ratio=D0.62; Dollar adjustment $950,000; O Rebalancing ratio=1.38; Dollar adjustment $950,000;

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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