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AnnaZ · 2023年04月09日

没看懂为何要减45

  1. CFA II
  2. Portfolio

NO.PZ2018091701000077

问题如下：

Smith has a bond portfolio which consists two zero-coupon bonds. Bond 1 has a duration of 3.5 year, and the market value is $47.5 million. Bond 2 has a duration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must be within 45%-55%. It is expected that the yield curve will parallel shift 20bp upward. To reduce the interest rate risk, Smith should:

选项：

A.

Buy $7.5 million Bond 2 and invest $7.5 million in Bond 1

B.

Sell $7.5 million Bond 2 and invest $7.5 million in Bond 1

C.

Sell $2.5 million Bond 1 and invest $2.5 million in Bond 2

解释：

B is correct.

考点：fixed-income exposure measures。

解析 ： Duration是衡量利率风险的指标 。 为了降低利率风险 ， 也就是减小Duration ， Smith应该卖掉Duration大的债券 ， 购买Duration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bond 2的卖出上限是52.5-45=7.5 million ， 同时购买相同金额的Bond 1 。

因为range是45-55，那么BOND2最多不是可以都卖掉吗，假设有52.5，全卖掉也在range范围内，为什么减掉45，这代表什么含义呢，麻烦老师详细解释一下谢谢

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星星_品职助教 · 2023年04月09日

同学你好， range是45-55代表该资产最低也要投45%，所以BOND2最低也要有45m，由于目前有52.5m，所以最多就只能卖52.5减掉45。

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