If question is asking to calculate the duration of leveraged portfolio , is it asking the duration of invested fund (Liability + equity ) or duration of equity ?
All the questions I have come across regarding this have equity as the denominator and therefore asking for the duration of the portfolio equity.
D = (Assets invested x Asset duration) - (Borrowed funds x Borrowed funds duration) / Equity
S666 wrote:
All the questions I have come across regarding this have equity as the denominator and therefore asking for the duration of the portfolio equity.
D = ((Assets invested x Asset duration) - (Borrowed funds x Borrowed funds duration)) / Equity
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