相差要多少算近似相等

NO.PZ2018120301000037 问题如下 SchuylkillanChaopraya now scuss Option 2. Chaopraya estimates the present value ofthe four future cash flows $230,372, with a money ration of $2,609,700 anonvexity of 135.142. She consirs three possible portfolios to immunize thefuture payments, presentein Exhibit 2.terminethe most appropriate immunization portfolio in Exhibit 2. Justify yourcision. Answer:Justification:Portfolio2 is the most appropriate immunization portfolio because it is the only onethsatisfies the following two criteria for immunizing a portfolio ofmultiple future outflows: Money ration: Money rations of all three possible immunizing portfolios mator closely matthe money ration of the outflow portfolio. Matching money rations is useful because the market values ancash flow yiel of the immunizing portfolio anthe outflow portfolio are not necessarily equal.Convexity:Given ththe money ration requirement is met all three possibleimmunizing portfolios, the portfolio with the lowest convexity this abovethe outflow portfolio’s convexity of 135.142 shoulselecte Thespersion, measureconvexity, of the immunizing portfolio shoulaslow possible subjeto being greater thor equto the spersion of theoutflow portfolio. This will minimize the effeof non-parallel shifts in theyielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflowportfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anortfolio 2 have convexities thexceethe convexity of the outflow portfolio,but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio.Theimmunizing portfolio nee to greater ththe convexity (anspersion) ofthe outflow portfolio. But, the convexity of the immunizing portfolio shoulbeminimizein orr to minimize spersion anrestructurrisk 老师好，我怎么判断ration接近呢？我感觉portfolio2 ration低所以不行啊

NO.PZ2018120301000037 问题如下 SchuylkillanChaopraya now scuss Option 2. Chaopraya estimates the present value ofthe four future cash flows $230,372, with a money ration of $2,609,700 anonvexity of 135.142. She consirs three possible portfolios to immunize thefuture payments, presentein Exhibit 2.terminethe most appropriate immunization portfolio in Exhibit 2. Justify yourcision. Answer:Justification:Portfolio2 is the most appropriate immunization portfolio because it is the only onethsatisfies the following two criteria for immunizing a portfolio ofmultiple future outflows: Money ration: Money rations of all three possible immunizing portfolios mator closely matthe money ration of the outflow portfolio. Matching money rations is useful because the market values ancash flow yiel of the immunizing portfolio anthe outflow portfolio are not necessarily equal.Convexity:Given ththe money ration requirement is met all three possibleimmunizing portfolios, the portfolio with the lowest convexity this abovethe outflow portfolio’s convexity of 135.142 shoulselecte Thespersion, measureconvexity, of the immunizing portfolio shoulaslow possible subjeto being greater thor equto the spersion of theoutflow portfolio. This will minimize the effeof non-parallel shifts in theyielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflowportfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anortfolio 2 have convexities thexceethe convexity of the outflow portfolio,but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio.Theimmunizing portfolio nee to greater ththe convexity (anspersion) ofthe outflow portfolio. But, the convexity of the immunizing portfolio shoulbeminimizein orr to minimize spersion anrestructurrisk Multiple Liability——ration matching的第三个条件不是Convexity convexityL吗，为什么选最接近的呢？

NO.PZ2018120301000037 问题如下 SchuylkillanChaopraya now scuss Option 2. Chaopraya estimates the present value ofthe four future cash flows $230,372, with a money ration of $2,609,700 anonvexity of 135.142. She consirs three possible portfolios to immunize thefuture payments, presentein Exhibit 2.terminethe most appropriate immunization portfolio in Exhibit 2. Justify yourcision. Answer:Justification:Portfolio2 is the most appropriate immunization portfolio because it is the only onethsatisfies the following two criteria for immunizing a portfolio ofmultiple future outflows: Money ration: Money rations of all three possible immunizing portfolios mator closely matthe money ration of the outflow portfolio. Matching money rations is useful because the market values ancash flow yiel of the immunizing portfolio anthe outflow portfolio are not necessarily equal.Convexity:Given ththe money ration requirement is met all three possibleimmunizing portfolios, the portfolio with the lowest convexity this abovethe outflow portfolio’s convexity of 135.142 shoulselecte Thespersion, measureconvexity, of the immunizing portfolio shoulaslow possible subjeto being greater thor equto the spersion of theoutflow portfolio. This will minimize the effeof non-parallel shifts in theyielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflowportfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anortfolio 2 have convexities thexceethe convexity of the outflow portfolio,but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio.Theimmunizing portfolio nee to greater ththe convexity (anspersion) ofthe outflow portfolio. But, the convexity of the immunizing portfolio shoulbeminimizein orr to minimize spersion anrestructurrisk 在market value 满足的前提下，应该选择最精确的money ration匹配吧？这里三个portfolio 都满足了market value 大于 PV of liability ;然后Portfolio 3 的money ration is 2609 707 ，the money ration of the liability is 2609700；在money ration 匹配的基础上，再最后考虑凸度的匹配吧？凸度只是二阶导的影响，所以影响力没有money ration来的重要；为什么放着money ration能精确匹配的不选，要选择近似匹配的其他；

NO.PZ2018120301000037 问题如下 SchuylkillanChaopraya now scuss Option 2. Chaopraya estimates the present value ofthe four future cash flows $230,372, with a money ration of $2,609,700 anonvexity of 135.142. She consirs three possible portfolios to immunize thefuture payments, presentein Exhibit 2.terminethe most appropriate immunization portfolio in Exhibit 2. Justify yourcision. Answer:Justification:Portfolio2 is the most appropriate immunization portfolio because it is the only onethsatisfies the following two criteria for immunizing a portfolio ofmultiple future outflows: Money ration: Money rations of all three possible immunizing portfolios mator closely matthe money ration of the outflow portfolio. Matching money rations is useful because the market values ancash flow yiel of the immunizing portfolio anthe outflow portfolio are not necessarily equal.Convexity:Given ththe money ration requirement is met all three possibleimmunizing portfolios, the portfolio with the lowest convexity this abovethe outflow portfolio’s convexity of 135.142 shoulselecte Thespersion, measureconvexity, of the immunizing portfolio shoulaslow possible subjeto being greater thor equto the spersion of theoutflow portfolio. This will minimize the effeof non-parallel shifts in theyielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflowportfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anortfolio 2 have convexities thexceethe convexity of the outflow portfolio,but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio.Theimmunizing portfolio nee to greater ththe convexity (anspersion) ofthe outflow portfolio. But, the convexity of the immunizing portfolio shoulbeminimizein orr to minimize spersion anrestructurrisk portfolio2的PVa PVL啊