Laura a bond portfolio manager administers a 10 million


Laura, a bond portfolio manager, administers a $10 million portfolio. The portfolio currently has a duration of 8.5 years. Laura wants to shorten the duration to 6 years using T-bill futures. T-bill futures have a duration of 0.25 years and are trading at $975 (face value = $1,000).

How is this accomplished?

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Finance Basics: Laura a bond portfolio manager administers a 10 million
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