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Show that the percentage changes in the values

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Portfolio A consist of a one year zero-coupon bond with a face value of $2000 and a 10 year zero-coupon bond with a face value of $6000. Portfolio B consist of a 5.95 year zero coupon bond with a face value of $5000. The current yield on all bonds is 10% per annum continuously compounded.

Question 1) Show that both portfolios have the same duration

Question 2) show that the percentage changes in the values of the two portfolios for a 5% per annum increase in yields are the same.

Question 3) what are the percentage changes in the values of the two portfolios for a 5% per annum increase in yields?

Reference no: EM132582159

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