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A portfolio manager manages a bond portfolio. Its composition is shown below
a. What is the modified duration of this portfolio?
b. What is the convexity of this portfolio?
c. What is the approximate bond portfolio value if its yield increases by 0.1%?
d. What is the approximate bond portfolio value if its yield decreases by 0.2%?BondCurrent
value of bondModified duration of bondConvexity of
bond1$100122$300233$4002.544$2005155$1000410

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A portfolio manager manages a bond portfolio. Its composition is sho.pdf

  • 1. A portfolio manager manages a bond portfolio. Its composition is shown below a. What is the modified duration of this portfolio? b. What is the convexity of this portfolio? c. What is the approximate bond portfolio value if its yield increases by 0.1%? d. What is the approximate bond portfolio value if its yield decreases by 0.2%?BondCurrent value of bondModified duration of bondConvexity of bond1$100122$300233$4002.544$2005155$1000410