You must choose your portfolio from the 23 Treasury bonds (ranging from TB 124 to TB 150). You can engage, if you wish to, in limited short selling. Five bonds only can have a negative weight of up to -10%. You can exclude individual bonds from your portfolio by specifying a zero weighting. However, you are required more than least a 10% weight allocated to 5 individual bonds. Naturally, the sum of all of your weights must equal 100%. You must also comply with a risk constraint. Your portfolio DV01 (BPV) must be greater than $3,000 but must not exceed $12,000 per basis point (See cell I28). Devising a Bond Portfolio Strategy As with the simulation exercise,
The project should be about 1500 words and no more than 5 pages including graphs and tables Portfolio Constraints You must choose your portfolio from the 23 Treasury bonds (ranging from TB 124 to TB 150). You can engage, if you wish to, in limited short selling. Five bonds only can have a negative weight […]