Portfolio duration, Financial Management

Assignment Help:

We can measure the portfolio duration by calculating the weighted average of the duration of the bonds in the portfolio. The proportion of the portfolio that a security comprises can be considered as weights. Portfolio duration can be represented as:

         w1D1 + w2D2 + w3D3 + .........wKDK

Where,

         wi      =       Market value of bond i/market value of the portfolio.

         Di         =       Duration of bond i.

         K       =       Number of bonds in the portfolio.

Calculating the rupee price change for a given number of basis points for each security in the portfolio and then adding all the price changes can be considered as an alternative procedure for calculating the duration of a portfolio. The portfolio duration can be arrived at by adjusting the percentage price change that is obtained by dividing the total of the price changes by the initial market value of the portfolio.


Related Discussions:- Portfolio duration

Case study - japanese loans and forwards, Japanese banks borrow in yen and ...

Japanese banks borrow in yen and purchase spot dollars from their Western counterparties. Therefore the Western banks are left holding the yen for the time of the loan (three month

Determine the concept of cash flow to shareholders, Does financial leverage...

Does financial leverage (debt) have any impact on the Free Cash Flow, on the Cash Flow to Shareholders, on the growth of the company and on the value of the shares? Debt has no

Meaning of capital budgeting, Meaning of Capital Budgeting Decisions r...

Meaning of Capital Budgeting Decisions relating to irreversible commitment of funds to projects whose profits are to be reaped over a time span longer than the current account

Yield to call, Yield to call is the yield that would be realized on a...

Yield to call is the yield that would be realized on a callable bond assuming the issuer of the bond redeems it before maturity. A bond's call provision is detail

Define how competitive is the market for banking services, How competitive ...

How competitive is the market for banking services? A: With above 7,000 banks and thrifts in the U.S., banking is one of the so many competitive industries in the world. Refer

Describe the basic career stages, Q. Describe the basic Career stages? ...

Q. Describe the basic Career stages? The proper way to analyze and discuss career is to look at them as made up of stages. We can identify five career stages that people most p

Analysis of operations, You must analyze the operating performance of your ...

You must analyze the operating performance of your company. You will use ratio analysis and primarily using Liquidity, Profitability and Working Capital ratios. You will use a g

Accounting for financial instruments, The IASB is in the procedure of under...

The IASB is in the procedure of undertaking a comprehensive review of accounting for financial instruments, and has issued a latest financial instruments standard referred to as IF

Accounting system, Accounting System: The accounting systems are the pr...

Accounting System: The accounting systems are the primary financial systems that any business should have in place to ensure accurate and usable financial information. The b

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd