It will be great if you can assist me in this if I am correct,...
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It will be great if you can assist me in this if I am correct, invested in N bonds all have YTM y, Fraction Wi invested in bond i. Since all these bonds have the same YTM, we can simply take the sum of all cash flows from each bond i to find CF of all i at time t, hare we build on top of Macaulay's Duration formula:
This first sigma is for every i and the second sigma is for every t
(1/Pi)PV (Fi, t)t) = D Problem 3: Find the duration of a portfolio invested in a number N of bonds, all with the same yield-to-maturity y, under the assumption that a fraction wi of the portfolio is invested in bond I. How can you interpret the expression that you have derived? (1/Pi)PV (Fi, t)t) = D Problem 3: Find the duration of a portfolio invested in a number N of bonds, all with the same yield-to-maturity y, under the assumption that a fraction wi of the portfolio is invested in bond I. How can you interpret the expression that you have derived
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