You are an employee at XYZ Bank. Your Bank is trying the construct an investment portfolio that matches its resources and goals. To do so, you and your team required to evaluate the investment options available for your Bank and decide what is the best option to choose. A B с D E Value of the 1,400,500 1,370,050 750,000 450,300 1,700,650 position Duration 5 3 5 4 6 YTM 4% 3% 7% 8% 5.50% Potential adverse move 0.30% 0.26% 0.43% 0.56% 0.37% in yield Correlation A B C D E A 1 0.5 0.3 0.1 -0.2 B 1 0.2 -0.3 0.4 C 1 0.2 -0.3 D 1 -0.4 E 1 Weight A B с D E Scenario I 30.00% 10.00% 60.00% Scenario II 50.00% 30.00% 20.00%
You are an employee at XYZ Bank. Your Bank is trying the construct an investment portfolio that matches its resources and goals. To do so, you and your team required to evaluate the investment options available for your Bank and decide what is the best option to choose. A B с D E Value of the 1,400,500 1,370,050 750,000 450,300 1,700,650 position Duration 5 3 5 4 6 YTM 4% 3% 7% 8% 5.50% Potential adverse move 0.30% 0.26% 0.43% 0.56% 0.37% in yield Correlation A B C D E A 1 0.5 0.3 0.1 -0.2 B 1 0.2 -0.3 0.4 C 1 0.2 -0.3 D 1 -0.4 E 1 Weight A B с D E Scenario I 30.00% 10.00% 60.00% Scenario II 50.00% 30.00% 20.00%
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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Transcribed Image Text:You are an employee at XYZ Bank. Your Bank is trying the construct an investment portfolio that matches its resources and goals. To do so, you and your team are
required to evaluate the investment options available for your Bank and decide what is the best option to choose.
A
B
C
D
E
Value of the
1,400,500 1,370,050 750,000 450,300 1,700,650
position
Duration
5
4
6
YTM
4%
3%
7%
8%
5.50%
Potential
adverse move
0.30%
0.26%
0.43%
0.56%
0.37%
in yield
Correlation
A.
В
D
E
A
1.
0.5
0.3
0.1
-0.2
B
1
0.2
-0.3
0.4
1
0.2
-0.3
D
1.
-0.4
E
Weight
А
В
D
E
Scenario I
30.00%
10.00%
60.00%
Scenario II
50.00%
30.00%
20.00%
Scenario III
50.00%
50.00%
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