From Schweser Book 3 pp217 2. A manager’s portfolio was worth $160M, $40M of which was his own funds and $120M was borrowed. If the duration of the invested funds is 4.2 and the duration of borrowed funds is 0.8, the duration of the portfolio is closest to A. 3.60 years B. 5.00 years C. 14.40 years I think it should be A*D_A = L*D_L + E*D_E 160*D_A = 120*0.8 + 40*4.2 D_A = 1.65 Am I wrong?
Invested assets = Total asset So equation should be 160*4.2 = 120*0.8 + 40 * D_E D_E = 14.4
Yeah. That’s what the answer says but I think the names in this question are quite confusing. It says portfolio is 160M and then asks for portfolio duration… 