No.PZ2021052101000006 (选择题)来源:
Suppose a single liability of EUR 250 million with the investment horizon of six years. We build a three-bond portfolio to earn a rate of return sufficient to pay off the obligation.
Exhibit 1 The Bond Portfolio to Immunize the Single Liability
The current date is 15 February 2017.
The portfolio Macaulay duration matches the investment horizon of six years. We can calculate the average Macaulay duration is (2.463 × 0.2355) + (6.316 × 0.4852) + (7.995 × 0.2793) = 5.8776.
There is difference between the portfolio Macaulay duration and the average Macaulay duration because:
您的回答B, 正确答案是: A
A
The yield curve is upwardly sloped
B
不正确The convexity of the 10-year bond is higher than the 2-year bond
C
This portfolio must be regularly rebalanced over the horizon to maintain the target duration
Correct Answer: A
Macaulay duration is the weighted average of the times to the receipt of cash flow, whereby the share of total market value for each date is the weight.
12.0008 is the Macaulay duration for the portfolio in terms of semiannual periods. Annualized, it is 6.0004 (= 12.0008/2). The portfolio Macaulay duration matches the investment horizon of six years.
The average Macaulay duration is (2.463 × 0.2355) + (6.316 × 0.4852) + (7.995 × 0.2793) = 5.8776.
When the yield curve is upwardly sloped, average duration (5.8776) is less than the portfolio duration (6.0004).
老师可以解释一下“12.0008 is the Macaulay duration for the portfolio in terms of semiannual periods. Annualized, it is 6.0004 (= 12.0008/2)” 吗？为什么半年是12，一年是6了呢？
