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kim226

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发表于 2013-4-12 22:15 | 只看该作者

CFAI text V4 P109 : leveraged & unleveraged duration

advise, equity, borrowed
Is it that the duration of 4.00 shall be the “leveraged” duration ? Since among the 140M bond portfolio, 100M is borrowed the bond portfolio. That is to say, the bond portfolio shall be a “leveraged” portfolio.
On the other hand, D(equity) of 11.50 shall be “unleveraged” duration, right ?
Anyone can advise ?

 

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ramzes

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发表于 2013-4-12 22:15 | 只看该作者
==Correction to my previous message==
Is it that the duration of 4.00 shall be the “leveraged” duration ? Since among the 140M bond portfolio, 100M is borrowed. That is to say, the bond portfolio shall be a “leveraged” portfolio.
On the other hand, D(equity) of 11.50 shall be “unleveraged” duration, right ?
Anyone can advise ?

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