You Own a $15 Million Bond Portfolio with a Modified

question 70

Multiple Choice

You own a $15 million bond portfolio with a modified duration of 11 years and you want to limit your risk but institutional constraints prohibit trading the bond portfolio.T-bond futures are available with a modified duration of the deliverable instrument of 8 years.The futures are priced at $105,000.The proper hedge ratio to use is ______.

• A) 104
• B) 143
• C) 196
• D) 213

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Definitions:

Big Five Model

A psychological theory that outlines five major dimensions of human personality: openness, conscientiousness, extraversion, agreeableness, and neuroticism.

Sociable

Willing to engage in social interactions; possessing traits of friendliness and social confidence.

Neuroticism

A personality trait characterized by anxiety, fear, moodiness, worry, envy, frustration, jealousy, and loneliness.

Big Five Model

The Big Five Model is a psychological theory that identifies five main dimensions of human personality: openness, conscientiousness, extraversion, agreeableness, and neuroticism.