开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

天羽 · 2025年06月18日

请问老师 这么回答合适吗?

NO.PZ2023032703000036

问题如下:

Chaopraya Av is an investment advisor for high-net-worth individuals. One of her clients, Schuylkill Cy, plans to fund her grandson’s college education and considers two options:

Option 1 Contribute a lump sum of $300,000 in 10 years.

Option 2 Contribute four level annual payments of $76,500 starting in 10 years.

The grandson will start college in 10 years. Cy seeks to immunize the contribution today.

Cy and Av now discuss Option 2. Av estimates the present value of the four future cash flows as $230,372, with a money duration of $2,609,700 and convexity of 135.142. She considers three possible portfolios to immunize the future payments, as presented in Exhibit 2.

Determine the most appropriate immunization portfolio in the Exhibit 2. Justify your decision.

选项:

解释:

Determine the most appropriate immunization portfolio in the Exhibit 2. (circle one)

Portfolio 1 Portfolio 2 Portfolio 3

Justify your response.

Justification:

Portfolio 2 is the most appropriate immunization portfolio because it is the only one that satisfies the following two criteria for immunizing a portfolio of multiple future outflows:

Money Duration: Money durations of all three possible immunizing portfolios match or closely match the money duration of the outflow portfolio. Matching money durations is useful because the market values and cash flow yields of the immunizing portfolio and the outflow portfolio are not necessarily equal.

Convexity: Given that the money duration requirement is met by all three possible immunizing portfolios, the portfolio with the lowest convexity that is above the outflow portfolio’s convexity of 135.142 should be selected.

The dispersion, as measured by convexity, of the immunizing portfolio should be as low as possible subject to being greater than or equal to the dispersion of the outflow portfolio. This will minimize the effect of non-parallel shifts in the yield curve.

Portfolio 3’s convexity of 132.865 is less than the outflow portfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 and Portfolio 2 have convexities that exceed the convexity of the outflow portfolio, but Portfolio 2’s convexity of 139.851 is lower than Portfolio 1’s convexity of 147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio.

The immunizing portfolio needs to be greater than the convexity (and dispersion) of the outflow portfolio. But, the convexity of the immunizing portfolio should be minimized in order to minimize dispersion and reduce structural risk.

portfolio2 is the most appropriate immunization portfolio

for multiple liabilities,

1.MV of asset needs to equal or exceed the PV of liabilities,portfolio2 'Svalue (248,230)greater than the value of liabilities(230,372);

2.money duration of asset matches the money duration of liabilities,while money duration of portfolio2 closely match the money duration of liabilities;

3.asset convexity greater than the liabilities,portfolio3 fail to meet therequirement;both portfolio1 and portfolio2 meet this requirement,

while portfolio2 has relative lower convexity ,so portfolio2 is the most appropriate

1 个答案

发亮_品职助教 · 2025年06月18日

portfolio2 is the most appropriate immunization portfolio

for multiple liabilities,

1.MV of asset needs to equal or exceed the PV of liabilities,portfolio2 'Svalue (248,230)greater than the value of liabilities(230,372);

2.money duration of asset matches the money duration of liabilities,while money duration of portfolio2 closely match the money duration of liabilities;

3.asset convexity greater than the liabilities,portfolio3 fail to meet therequirement;both portfolio1 and portfolio2 meet this requirement,

while portfolio2 has relative lower convexity ,so portfolio2 is the most appropriate


可以,这个回复很好。对应的知识点要点bullet point都答到了,而且是理论证据+本题的数据支持,很全面,可以拿到所有分值。


然后注意看这道题的答案是协会给的标准答案,他没有提到资产的MV与负债的MV大小关系,没有说这个匹配条件,这个答案也是对的。原因是,多期负债匹配里面的BPV数据是兼顾考虑了duration和market value数据。所以有时候不需要单独说MV。

所以如果看到协会标准答案没说MV,不是标准答案错了。不过我们自己考试不放心的话可以把MV写上,绝对没错。


  • 1

    回答
  • 0

    关注
  • 4

    浏览
相关问题

NO.PZ2023032703000036 问题如下 Chaopraya is investment aisor for high-net-worth invials. One of her clients, Schuylkill Cy, plans to funher granon’s college ecation anconsirs two options:Option 1 Contribute a lump sum of $300,000 in 10 years.Option 2 Contribute four level annupayments of $76,500 starting in 10 years.The granon will start college in 10 years. seeks to immunize the contribution toy.annow scuss Option 2. estimates the present value of the four future cash flows $230,372, with a money ration of $2,609,700 anconvexity of 135.142. She consirs three possible portfolios to immunize the future payments, presentein Exhibit 2.termine the most appropriate immunization portfolio in the Exhibit 2. Justify your cision. termine the most appropriate immunization portfolio in the Exhibit 2. (circle one)Portfolio 1 Portfolio 2 Portfolio 3Justify your response.Justification:Portfolio 2 is the most appropriate immunization portfolio because it is the only one thsatisfies the following two criteria for immunizing a portfolio of multiple 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 possible immunizing portfolios, the portfolio with the lowest convexity this above the outflow portfolio’s convexity of 135.142 shoulselecte The spersion, measureconvexity, of the immunizing portfolio shoullow possible subjeto being greater thor equto the spersion of the outflow portfolio. This will minimize the effeof non-parallel shifts in the yielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflow portfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anPortfolio 2 have convexities thexceethe convexity of the outflow portfolio, but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of 147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio. The immunizing portfolio nee to greater ththe convexity (anspersion) of the outflow portfolio. But, the convexity of the immunizing portfolio shoulminimizein orr to minimize spersion anrestructurrisk. Portfolio 2 is the most possible one to immunize the future payments.estimates the present value of the four future cash flows $230,372, with a money ration of $2,609,700 anconvexity of 135.142.To matmultiple liabilities, the money ration of all three portfolios is close to the money ration of $2,609,700. What’s more, the convexity of asset shoulhigher ththe convexity of liability(135.412) anlowest to rethe structurrisk.

2025-06-11 13:25 1 · 回答

NO.PZ2023032703000036 问题如下 Chaopraya is investment aisor for high-net-worth invials. One of her clients, Schuylkill Cy, plans to funher granon’s college ecation anconsirs two options:Option 1 Contribute a lump sum of $300,000 in 10 years.Option 2 Contribute four level annupayments of $76,500 starting in 10 years.The granon will start college in 10 years. seeks to immunize the contribution toy.annow scuss Option 2. estimates the present value of the four future cash flows $230,372, with a money ration of $2,609,700 anconvexity of 135.142. She consirs three possible portfolios to immunize the future payments, presentein Exhibit 2.termine the most appropriate immunization portfolio in the Exhibit 2. Justify your cision. termine the most appropriate immunization portfolio in the Exhibit 2. (circle one)Portfolio 1 Portfolio 2 Portfolio 3Justify your response.Justification:Portfolio 2 is the most appropriate immunization portfolio because it is the only one thsatisfies the following two criteria for immunizing a portfolio of multiple 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 possible immunizing portfolios, the portfolio with the lowest convexity this above the outflow portfolio’s convexity of 135.142 shoulselecte The spersion, measureconvexity, of the immunizing portfolio shoullow possible subjeto being greater thor equto the spersion of the outflow portfolio. This will minimize the effeof non-parallel shifts in the yielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflow portfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anPortfolio 2 have convexities thexceethe convexity of the outflow portfolio, but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of 147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio. The immunizing portfolio nee to greater ththe convexity (anspersion) of the outflow portfolio. But, the convexity of the immunizing portfolio shoulminimizein orr to minimize spersion anrestructurrisk. 这个题目在回答的时候有必要把具体的数据摆出来吗?感觉时间不够写那么多

2025-06-04 22:16 1 · 回答

NO.PZ2023032703000036 问题如下 Chaopraya is investment aisor for high-net-worth invials. One of her clients, Schuylkill Cy, plans to funher granon’s college ecation anconsirs two options:Option 1 Contribute a lump sum of $300,000 in 10 years.Option 2 Contribute four level annupayments of $76,500 starting in 10 years.The granon will start college in 10 years. seeks to immunize the contribution toy.annow scuss Option 2. estimates the present value of the four future cash flows $230,372, with a money ration of $2,609,700 anconvexity of 135.142. She consirs three possible portfolios to immunize the future payments, presentein Exhibit 2.termine the most appropriate immunization portfolio in the Exhibit 2. Justify your cision. termine the most appropriate immunization portfolio in the Exhibit 2. (circle one)Portfolio 1 Portfolio 2 Portfolio 3Justify your response.Justification:Portfolio 2 is the most appropriate immunization portfolio because it is the only one thsatisfies the following two criteria for immunizing a portfolio of multiple 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 possible immunizing portfolios, the portfolio with the lowest convexity this above the outflow portfolio’s convexity of 135.142 shoulselecte The spersion, measureconvexity, of the immunizing portfolio shoullow possible subjeto being greater thor equto the spersion of the outflow portfolio. This will minimize the effeof non-parallel shifts in the yielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflow portfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anPortfolio 2 have convexities thexceethe convexity of the outflow portfolio, but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of 147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio. The immunizing portfolio nee to greater ththe convexity (anspersion) of the outflow portfolio. But, the convexity of the immunizing portfolio shoulminimizein orr to minimize spersion anrestructurrisk. 老师,麻烦帮忙看下这样回答能拿满分吗?Portfolio 2 is the most appropriate.For best immunization, the portfolio must 1) Market value must exceethe present value of future cash outflow; 2) Money ration matches; 3) The convexity of portfolio must exceethe future cash flow but the fferenshoulminimize such, portfolio 2 is the most appropriate.

2025-01-16 14:27 1 · 回答

NO.PZ2023032703000036 问题如下 Chaopraya is investment aisor for high-net-worth invials. One of her clients, Schuylkill Cy, plans to funher granon’s college ecation anconsirs two options:Option 1 Contribute a lump sum of $300,000 in 10 years.Option 2 Contribute four level annupayments of $76,500 starting in 10 years.The granon will start college in 10 years. seeks to immunize the contribution toy.annow scuss Option 2. estimates the present value of the four future cash flows $230,372, with a money ration of $2,609,700 anconvexity of 135.142. She consirs three possible portfolios to immunize the future payments, presentein Exhibit 2.termine the most appropriate immunization portfolio in the Exhibit 2. Justify your cision. termine the most appropriate immunization portfolio in the Exhibit 2. (circle one)Portfolio 1 Portfolio 2 Portfolio 3Justify your response.Justification:Portfolio 2 is the most appropriate immunization portfolio because it is the only one thsatisfies the following two criteria for immunizing a portfolio of multiple 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 possible immunizing portfolios, the portfolio with the lowest convexity this above the outflow portfolio’s convexity of 135.142 shoulselecte The spersion, measureconvexity, of the immunizing portfolio shoullow possible subjeto being greater thor equto the spersion of the outflow portfolio. This will minimize the effeof non-parallel shifts in the yielcurve. Portfolio 3’s convexity of 132.865 is less ththe outflow portfolio’s convexity, so Portfolio 3 is not appropriate. Both Portfolio 1 anPortfolio 2 have convexities thexceethe convexity of the outflow portfolio, but Portfolio 2’s convexity of 139.851 is lower thPortfolio 1’s convexity of 147.640. Therefore, Portfolio 2 is the most appropriate immunizing portfolio. The immunizing portfolio nee to greater ththe convexity (anspersion) of the outflow portfolio. But, the convexity of the immunizing portfolio shoulminimizein orr to minimize spersion anrestructurrisk. 老师,基础班讲课时一直强调三个条件,但是有些题目貌似直接不对比market value这个条件了(比如这道题的答案只对比了money ration和convexity),想问问考试的时候我们是三个条件都对比,还是说只对比money ration和convexity即可?谢谢

2025-01-09 10:11 1 · 回答