duration大的时候reinvest risk不是更高么？

问题如下：

The duration gap at which reinvestment risk and price risk are equal is:

选项：

A.

less than zero.

B.

equal to zero.

C.

greater than zero.

解释：

B is correct. Reinvestment risk and price risk equally offset each other when an investor’s investment horizon equals a bond’s Macaulay duration. This is when the duration gap is zero.

A is incorrect because a duration gap of less than zero means that Macaulay duration is less than the investor’s investment horizon and that reinvestment risk is higher than price risk.

C is incorrect because when the duration gap is greater than zero, the Macaulay duration is greater than the investor’s investment horizon, so price risk is higher than reinvestment risk.