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Question
ABC Bank has $39 million invested in T-Bonds with a 16-year duration, $39 million in 6 month maturity T-Bills, and $75 million invested in consumer loans with a 3 year duration. If they are all portfolios of this bank, what is the duration of the bank's asset portfolio in years?A) 5.95 years
B) 6.50 years
C) 7.23 years
D) 8.78 years
E) 9.51 years
Answer
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