A portfolio consists of positions in two bonds. The details of the positions are below:Security | Market Value | Duration | Dollar Duration | Bond A: | $55,580 | 10.67 | $5,930.39 | Bond B: | $30,157 | 19.21 | $5,793.16 |
The total dollar duration is $11,723.55. After a parallel shift of the yield curve, the results change to:Security | Market Value | Duration | Dollar Duration | Bond A: | $52,133 | 10.67 | $5,562.59 | Bond B: | $26,874 | 19.21 | $5,162.50 |
The new total dollar duration is $10,725.09. Which of the following adjustments will rebalance the portfolio to the original dollar duration?
A. Sell $2,499.28 of Bond A and buy $4,848.37 of Bond B.
B. Buy $4,848.37 of Bond A and $2,499.28 of Bond B.
C. Sell $4,848.37 of Bond A and $2,499.28 of Bond B.
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