Explore BrainMass
Share

Explore BrainMass

    Portfolio immunization

    This content was COPIED 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.

    Thanks

    © BrainMass Inc. brainmass.com October 10, 2019, 12:50 am ad1c9bdddf
    https://brainmass.com/economics/bonds/portfolio-immunization-bonds-309517

    Solution Summary

    The solution explains how to immunize a portfolio.

    $2.19