此题涉及multiple duration matching 的问题，应该是要求convexity 大一些才对，况且portfolio A 的BPV也是偏离最大，感觉答案应该是A呀？
问题如下图：
选项：
A. 
B. 
C. 
解释：
李宗_品职助教 · 2018年04月09日
你好同学，我们先理一下 structural risk 的概念：
PPT89页
The risk is that yield curve twists and non-parallel shifts lead to changes in the cash flow yield that do not match the yield to maturity of the zero-coupon bond that provides for perfect immunization. 也就是说免疫策略失效的风险。
PPT87页Structural risk arises from the potential for shifts and twists to the yield curve.
这个关键在于免疫策略失效，通常就是收益率曲线的平行移动以及曲度变化导致。然后同学你还记得 平移和收益率曲线twist的风险是哪两个指标衡量吗？就是 Duration 和 convexity。
结论：PPT89页
This risk （structural risk） is reduced by minimizing the dispersion (minimizing the convexity) of cash flows in the portfolio, going from a barbell design to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon.