Please correct answer and don't use hand rating Problem 3: The duration of a portfolio of bonds is just the weighted average of the durations of thebonds in the portfolio, where the weight on a particular bond is the fraction of the value of the portfoliothat comes from that particular bond; the weight sum to 1. Consider the following information on 4bonds:Bond1Duration226101534Consider the following three portfolios (the portfolios differ by the amount of current value in eachbond); the data below shows the current values in each of the bonds for each of the portfolios.PortfolioABCCurrent values in each bondBond 1$1MBond 2$1MBond 3Bond 4$1M$1M$2M00$2M0$1.75M2.25M0Which of these three portfolios has the most interest rate risk?

Portfolio A:Weighted average duration = (1M * 2 + 1M * 6 + 1M * 10 + 1M * 15) / (1M + 1M + 1M + 1M)…

Answered: Problem 3: The duration of a portfolio…

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter2: Risk And Return: Part I

Section: Chapter Questions

Problem 2MC

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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 11.0% ор 33.00% 10.0 28.00 8.1 10.4 5.2 18.00 23.00 Ө вр 1.45 1.20 0.75 1.00 Ө Assume that the correlation of returns on Portfolio Y to returns on the market is 0.66. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places. R-squared

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