ecurity 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%
ecurity 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%
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 16P
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Question
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% |
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