Explore BrainMass

Portfolio immunization

This content was STOLEN from BrainMass.com - View the original, and get the already-completed solution here!

You're requested to invest USD 25,000,000 in a bond portfolio consisting of just two bonds. Bond X has a duration of 2.75 years, and bond Y has a duration of 6.25 years. The portfolio is to have an investment horizon of 5 years. How much of each bond issue should you purchase to immunize your portfolio?

Please provide methodology used and calculations in excel.


© BrainMass Inc. brainmass.com December 20, 2018, 4:57 am ad1c9bdddf

Solution Summary

The solution explains how to immunize a portfolio.