- 5 Consider The Following Portfolio Duration Market Value A 1 50 35 Million B 2 25 65 Million C 435 72 5 Million D 5 1 (30 KiB) Viewed 30 times
5. Consider the following portfolio: Duration Market Value A 1.50 $35 million B 2.25 $65 million C 435 $72.5 million D 5
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5. Consider the following portfolio: Duration Market Value A 1.50 $35 million B 2.25 $65 million C 435 $72.5 million D 5
5. Consider the following portfolio: Duration Market Value A 1.50 $35 million B 2.25 $65 million C 435 $72.5 million D 5.15 S88,25 million (1) What is the market value of the portfolio? (2) What is the contribution to portfolio duration for each bond? (3) What is the portfolio's duration? (4) What is the percentage price change if interest rate were to fall 125 basis points considering only duration? (5) What is the estimated price with 125 basis points decrease in yield?