Investment (INV) Practice Questions - Investment (INV) - Actuaries Institute Fellowship Program Exam

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In fixed income asset-liability management, what is the Macaulay duration of a 3-year annual bond with face value AUD 1,000 paying a 6% annual coupon, yielding 6% per annum (trading at par)?

2.833 years 3.000 years 2.673 years 1.500 years

Correct Answer:

2.833 years

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