难道不是用Modity duration吗？

NO.PZ2022122801000042

问题如下：

Anna was recently hired as the investment advisor for the ZTA Corporation pension fund. The current market value of the pension fund’s assets is USD 10 billion, and the present value of the fund’s liabilities is USD 8 billion. Anna recommends that the risk-averse ZTA board of directors consider adopting a liability-relative method, specifically the hedging/return-seeking portfolio approach. The duration of the pension liability is 3. Exhibit 1 presents three potential asset allocation choices for the pension fund.

which Portfolio would be most appropriate for the hedging portfolio?

选项：

Portfolio A

Portfolio B

Portfolio C

解释：

The hedging portfolio must include assets whose returns are driven by the same factors that drive the returns of the liabilities.

难道不是用Modity duration吗？mac再除r，还要>3，选A

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1 个答案

Lucky_品职助教 · 2025年02月10日

嗨，努力学习的PZer你好：

同学你好：

hedging portfolio关键在于资产回报与负债回报受相同因素驱动，以此来降低风险。在本题情境下，Macaulay duration能够很好地满足这一需求。它衡量了债券现金流的加权平均到期时间，可反映资产价格对利率变动的敏感度，在养老金负债套期保值场景中，能有效匹配资产和负债的期限特征。题目中养老金负债久期为 3，通过对比麦考利久期，可直观判断哪个投资组合在期限上与负债更匹配，进而选择合适的hedging portfolio。

modified duration虽然也用于衡量债券价格对利率变动的敏感性，但它是在Macaulay duration基础上，考虑了利率的复利效应计算得出的，更多聚焦于利率变动对债券价格的直接影响。本题重点并非单纯计算利率变动对资产价格的影响程度，而是找到与负债受相同因素驱动的资产组合，modified duration在这方面无法直接体现资产与负债的驱动因素关联，所以不适用于本题的套期保值组合选择。

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知识点对应错误这个题目我有点疑惑。如果是单笔liability，那么直接比较Macaulration。可因为是multi liabilites，我倾向于比较BPV ，比如说 heing部分分派8 million，然后计算BPV，那么就应该选择求解答

2024-07-15 13:43 1 · 回答

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