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Enjoy · 2024年05月15日

这一题C为什么不对呢?

* 问题详情,请 查看题干

NO.PZ202305230100005306

问题如下:

The method of using weighted-average portfolio duration and convexity measures to assess price risk of a bond portfolio is best characterized as:

选项:

A.

being theoretically correct.

B.

being commonly used by portfolio managers.

C.

accommodating non-parallel shifts in the yield curve.

解释:

B is correct. The weighted-average portfolio duration and convexity method is easy to calculate and apply in practice and is commonly used by portfolio managers to assess bond portfolio price risk. It does, however, implicitly assume parallel shifts in the yield curve. Using the weighted average of time to receipt of the aggregate cash flows is the theoretically correct method to calculate portfolio duration and convexity, but it is difficult to use in practice.

如题目

1 个答案

吴昊_品职助教 · 2024年05月15日

嗨,努力学习的PZer你好:


题目问的是用资产组合加权的久期和凸性。

这个方法计算简单、便于使用,但是limitation是利率曲线只能发生平行移动(parallel shifts),也就是interest curve不能出现斜率变化。即不适用于收益率曲线发生非平行移动的情况。所以C的表述是不对的。

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