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

Sensitivity analysis, A division of Saron plc is considering introducing a ...

A division of Saron plc is considering introducing a new product.  The product is the result of work undertaken by the division's research and development department - the expendit

Criticize the flexible exchange rate regime, Criticize the flexible exchang...

Criticize the flexible exchange rate regime from the viewpoint of the proponents of the fixed exchange rate regime. If exchange rates are fluctuating very frequently, that may

What is the deferred tax asset or liability at the end yr, AB Corp expensed...

AB Corp expensed on the financial stmt $2,000,000 for depreciation expense during the year using straight line depreciation and deducted $3,000,000 of depreciation on the tax retur

OPERATING CYCLE, discuss the applicability of operation cycle in avegetab...

discuss the applicability of operation cycle in avegetable growing business

APPLICABILITY OF OPERATING CYCLE, #questioDiscuss the applicability of an o...

#questioDiscuss the applicability of an operating cycle in the vegetable growing business n..

Principles of corporate governance, Principles of corporate governance ...

Principles of corporate governance Leadership: Every corporation should be headed by a proficient BOD which should exercise leadership, venture, honesty and judgments in dire

Aligning financial reports, Aligning Financial Reports: The primary pur...

Aligning Financial Reports: The primary purposes of financial systems are to provide information to interested parties.  Any reports produced through the financial management p

Secondary market - t-bills, Secondary Market The major participants in ...

Secondary Market The major participants in secondary market are banks, brokerage firms and bond houses. They buy and sell T-bills on behalf of customers and themselves. The cus

Determine the symptoms of overtrading, Determine the Symptoms of overtradin...

Determine the Symptoms of overtrading Symptoms of overtrading are:- Fast sales growth Increasing trade payables Increasing trade receivables Fall in cash ba

Firms operation and financing decision, Q. Firms operation and financing de...

Q. Firms operation and financing decision? Firms operation and financing decision risks or the variability of returns also results for the decision make within the company. Ris

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