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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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Given the following data on price and duration for each bond in a fixed-income portfolio, determine the appropriate proportions of a 2-year Treasury and a 15-year Treasury that a portfolio manager should acquire. The goal is to create a barbell portfolio with a combined duration equivalent to their existing 7-year US Treasury position. How should the portfolio manager allocate investments between the 2-year Treasury and the 15-year Treasury to achieve this duration match?

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