Homework Answers
16.
The portfolio duration is :
weight of A *duration of A + Weight of B * duration of B + Weight of C *Duration of C
= 13/51*2 + 18/51 *4 + 20/51*3
=0.2549*2 + 0.3529*4 + 0.3922*3
=0.5098 + 1.4118 + 1.1766
=3.098
Therefore, the value of the portfolio will fall by -3.098*0.005 = -0.0155 i.e -1.55%.
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