NO.PZ202112010200000101
问题如下:
The portfolio alternative with the highest modified duration is the:
选项:
A.
bullet
portfolio.
B.
barbell
portfolio.
C.
equally
weighted portfolio.
解释:
B is correct. The modified duration of a fixed-income portfolio is approximately equal to the market value-weighted average of the bonds in the portfolio, so the barbell has a modified duration of 5.049, or (1.922 + 8.175)/2), which is larger than that of either the bullet (4.241) or the equally weighted portfolio (4.779, or (1.922 + 4.241 + 8.175)/3
因为barbell的CF分散在最短和最长,必然duration最大