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四喜 · 2024年05月02日

关于第二和第三个组合

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct. In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

  1. average time to maturity 就是组合里资产的Mac.Dur加权平均得到的对吗？然后 Mac.Dur 就是将组合里的各项资产视为整体用cash flow yield那个方法得到的每笔现金流现值求得的权重吗？
  2. 假设组合3的MacDur和组合2一样，那是不是选3，因为convexity相对小？
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pzqa31 · 2024年05月05日

嗨，努力学习的PZer你好：


是的，全部都是。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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