Calculate the duration of the portfolio

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Reference no: EM132820174

A portfolio consists of the following two investments:

a bond with face value of $100.00 paying annual coupons of 6% maturing in 5 years

an annuity with payments of $60.00 at the end of each year for 5 years

The portfolio is comprised of 35% bonds and 65% annuities.

The term structure is flat and the current yield is 11% pa effective.

Calculate the duration (D) of the portfolio. Give your answer to 2 decimal places.

Reference no: EM132820174

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