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Business, 17.12.2021 03:20 ajernandes01

On August 1, a portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio is 7.1 years. The December T-Bond futures price is currently 91-12 and the cheapest-to-deliver bond has a duration of 8.8 years. Yields are 9.5% on the futures and 9.5% on the bond portfolio. How can the portfolio manager immunize the portfolio against interest rate changes over the next two months

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On August 1, a portfolio manager has a bond portfolio worth $10 million. The duration of the portfol...
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