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A portfolio of assets consists of the following as of January 1, 1997: 1) an annuity - immediate with 20 annual payments of 2,000 each, with the first payment on December 31, 2007 2) a 10,000 zero - coupon bond maturing on December 31, 2001 at an annual effective interest rate of 8% Calculate the modified duration of the portfolio as of January 1, 1997. A) 10.67 B) 11.11 C) 11.53 D) 11.98 E) 12.41

A portfolio of assets consists of the following as of January 1, 1997: 1) an annuity - immediate with 20 annual payments of 2,000 each, with the first payment on December 31, 2007 2) a 10,000 zero - coupon bond maturing on December 31, 2001 at an annual effective interest rate of 8% Calculate the modified duration of the portfolio as of January 1, 1997. A) 10.67 B) 11.11 C) 11.53 D) 11.98 E) 12.41

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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A portfolio of assets consists of the following as of January 1, 1997: 1) an annuity - immediate with 20 annual payments of 2,000 each, with the first payment on December 31, 2007 2) a 10,000 zero - coupon bond maturing on December 31, 2001 at an annual effective interest rate of 8% Calculate the modified duration of the portfolio as of January 1, 1997. A) 10.67 B) 11.11 C) 11.53 D) 11.98 E) 12.41
Transcribed Image Text:A portfolio of assets consists of the following as of January 1, 1997: 1) an annuity - immediate with 20 annual payments of 2,000 each, with the first payment on December 31, 2007 2) a 10,000 zero - coupon bond maturing on December 31, 2001 at an annual effective interest rate of 8% Calculate the modified duration of the portfolio as of January 1, 1997. A) 10.67 B) 11.11 C) 11.53 D) 11.98 E) 12.41
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