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.
Thanks© BrainMass Inc. brainmass.com October 10, 2019, 12:50 am ad1c9bdddf
The solution explains how to immunize a portfolio.