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A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio?
A. 6 years
B. 7 years
C. 8 years
D. 9 years
A. 6 years
B. 7 years
C. 8 years
D. 9 years
Answer: D
The duration of the first bond is 5 years and the duration of the second bond is 10 years. The duration of the portfolio is a weighted average with weights corresponding to the amounts invested in the bonds. It is 0.2×5+0.8×10=9 years.
The duration of the first bond is 5 years and the duration of the second bond is 10 years. The duration of the portfolio is a weighted average with weights corresponding to the amounts invested in the bonds. It is 0.2×5+0.8×10=9 years.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015