Employing dynamic immunization techniques

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Reference no: EM13811734

One (Portfilio A) will require a payment of $100,000,000 at the end of 5 years (target date) while the other (Portfolio B) will require a payment of $100,000,000 at the end of 10 years (target date). You will assume the following information:

Portfolio A: Funded by a collection of corporate bonds with an 8% coupon rate.

Portfolio B: Funded by a collection of corporate bonds with a 6% coupon rate.

The goal is to develop an immunized dedicated portfolio by using duration matching and employing dynamic immunization techniques, rebalancing at the end of 2 years for portfolio A and 4 years for portfolio B.

Reference no: EM13811734

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