Value of the portfolio at the end of investment horizon

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Reference no: EM133638068

Consider the following bond portfolio:

1. What is the bond portfolio's duration?

2. If the bond portfolio duration is 6.95 years, calculate the capital loss on this portfolio when the yield increases from 10 to 12 percent.

3. Suppose the portfolio is immunized over an investment horizon of 6.95 years. Determine the value of the portfolio at the end of this investment horizon.

Reference no: EM133638068

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