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| rev | Admin | (Created page with "'''Solution: A''' This solution uses Macaulay duration and convexity. The same conclusion would result had modified duration and convexity been used. The liabilities have present value 573 /1.07<sup>2</sup> + 701/1.07<sup>5</sup> = 1000. Only portfolios A, B, and E have a present value of 1000. The duration of the liabilities is [2(573) /1.07<sup>2</sup> + 5(701)/1.07<sup>5</sup>]/1000 = 3.5. The duration of a zero coupon bond is its term. The portfolio duratio...") | Nov 20'23 at 20:59 | +1,144 |