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

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A bond portfolio has a Modified duration of 7.50 years and Convexity of 80.0. If market yields increase by 100 basis points (+1.00%), what is the estimated percentage change in portfolio value using the second-order duration-convexity approximation?

-7.10% -7.50% -7.90% -6.70%

Correct Answer:

-7.10%

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