Let pi be the price of the i-th bond in the portfolio of n, Ask an Expert

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Let Pi be the price of the i-th bond in the portfolio of n bonds and Di be the modified duration of that duration of that bond. Show in clear steps that the duration of portfolio D satisfies the formula: that the duration of portfolio D satisfies the formula: D= [(D1 ×P1)+(D2 ×P2)+...+(Dn ×Pn)] /(P1 +...+Pn).

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Financial Management, Finance

Category:- Financial Management
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