18:57 (2X)
最后一句是判断bullet/barbell变成ladder后RI risk和convexity的变化，题目中是怎么看出来是“变成ladder”的？是我题干看漏了，还是题目没说清楚？
pzqa31 · 2024年02月06日
嗨，从没放弃的小努力你好：
“The durations for almost half of the bonds in the Wharton portfolio are clustered around 4 years, and the durations of the remainder around 12 years,
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W同学的portfolio是一个barbell。
while the durations of the Lawson portfolio bonds are clustered between 6 years and 8 years.
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L同学的portfolio是一个bullet。
In general, a laddered bond portfolio approach would improve liquidity management for both,
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这句话意思是将两个portfolio改造成laddered portoflio会提高他们的流动性。
although the Lawson portfolio would experience an increase in cash flow reinvestment risk and the Wharton portfolio would experience a decrease in convexity.”
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尽管bullet portfolio的reinvestment risk会上升，barbell portfolio的convexity会下降。
这段话的表述都是正确的。
对应的知识点：
Laddered portfolio的现金流是最分散，如果比较convexity，除了现金流分散情况以外，还要限制duration与barbell、bullet相等，那么laddered 的convexity就不是最大的了。
----------------------------------------------加油吧，让我们一起遇见更好的自己！