A $10M bond portfolio consists of the following three holdings: $3M with an average duration of 6.7 $5M with an average duration of 4.2 $7M with an average duration of 8.9 The yield curve of interest rates associated with the portfolio undergoes a parallel increase of 0.3%. What is the change in the value of the portfolio, expressed in dollars? Be sure to say whether it's a gain or a loss.
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- Consider a three-security portfolio below: Security Maturity (in years) Par value Price Yield to maturity 1 1 $100 $98 2.06% 2 1 $100 $95 5.0% 3 1 $100 $97 3.1% These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the weighted-average portfolio yield? A. 2.35% B. 4.34% C. 3.35% D. 5.34%These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the weighted-average portfolio yield? What is the portfolio yield (i.e., portfolio internal rate of return)?Consider a three-security portfolio below: Security Maturity (in years) Par value Price Yield to maturity 1 1 $100 $98 2.06% 2 1 $100 $95 5.0% 3 1 $100 $97 3.1% These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the portfolio yield (i.e., portfolio internal rate of return)? A. 3.12% B. 3.42% C. 4.24% D. 5.24%
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