NO.PZ202112010200000802
问题如下：
The total expected return over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:
选项：
A.2.515% for the Buy-and-Hold
portfolio and 4.555% for the Yield Curve rolldown portfolio, respectively.
2.42% for the Buy-and-Hold portfolio and 4.51% for the Yield Curve Rolldown portfolio, respectively.
2.491% for the Buy-and-Hold portfolio and 3.59% for the Yield Curve Rolldown portfolio, respectively.
解释：
A is correct. Under a static yield curve assumption, expected returns are equal to rolldown return plus changes in currency over the investment horizon.
Expected returns are:
Buy and Hold: E(R) = 2.515%, or (1.01 × 1.015) – 1
Yield Curve Rolldown: E(R) = 4.555%, or (1.0301 × 1.015) - 1
请问这题条件中哪里学了收益率曲线不变？如果条件没有给足，就默认假设不变吗？
