Financial Risk Manager Part 1
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Ultimate access to all questions.
To construct a barbell portfolio with the same cost and same duration as the bullet, what are the correct weights for the 2-Year and 15-Year Treasuries?
A
Weight of 2-Year Treasury = 14.22%; Weight of 15-Year Treasury = 85.78%
B
Weight of 2-Year Treasury = 44.46%; Weight of 15-Year Treasury = 55.54%
C
Weight of 2-Year Treasury = 55.54%; Weight of 15-Year Treasury = 44.46%
D
Weight of 2-Year Treasury = 85.78%; Weight of 15-Year Treasury = 14.22%