35. We are given a portfolio of bonds with value P = 100 and duration Dp = 1. There are two securities available for hedging this portfolio, the first with a price of F1 = 95 and duration DF1 = 0.8 and the second with a price of F2 = 92 and duration DF2 = 1.2. Suggest a duration-based hedging strategy for portfolio P. State clearly the assumptions for your choice.
We need at least 10 more requests to produce the solution.
0 / 10 have requested this problem solution
The more requests, the faster the answer.