NO.PZ2018120301000037
问题如下：
Schuylkill and Chaopraya now discuss Option 2. Chaopraya estimates the present value of the four future cash flows as $230,372, with a money duration of $2,609,700 and convexity of 135.142. She considers three possible portfolios to immunize the future payments, as presented in Exhibit 2.
Determine
the most appropriate immunization portfolio in Exhibit 2. Justify your
decision.
选项：
解释：
Answer:
Justification:
Portfolio
2 is the most appropriate immunization portfolio because it is the only one
that satisfies the following two criteria for immunizing a portfolio of
multiple future outflows:
The
immunizing portfolio needs to be greater than the convexity (and dispersion) of
the outflow portfolio. But, the convexity of the immunizing portfolio should be
minimized in order to minimize dispersion and reduce structural risk
portfolio 2 is best achieve the immunization.
the requirements of immunization for multiple liability should meet
1、the present value of portfolio should exceed or equal to the present value of liability
2、the dollar duration of portfolio shoud equal to the dollar duration of liability
3、the convexity of portfolio should be larger than the convexity of liability, and minimize the convexity of portfolio
portfolio 3 is not suitable due to its smaller convexity 233428 than 234,535；
portfolio 1 is not suitable owing to its larger convexity than the convexity of portfolio 2
