问题如下图：
选项：
A. 
B. 
C. 
解释：
A错在哪了？A有大量现金流提前回收，不是应该有reinvestment risks吗
发亮_品职助教 · 2019年01月15日
有一个结论就是：Laddered portfolio在三个类型的Portfolio中是比较中庸的，比如它的Reinvestment risk；Structural risk，是处在Barbell和Bullet中间的水平。
这道题是在比较Portfolio B (Laddered portfolio) 和Portfolio C （Barbell portfolio）；
因为三个Portfolio的Duration一样，Portfolio C有长期债券，为了使得Duration一致，Portfolio C中短期债券的权重相对会更高；所以早期会收到更多的现金流，因此会有更大的Reinvestment risk。
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management B我知道为什么对，但是A和C具体错在哪里呢reinvestment risk 大不大的衡量指标是什么，是convexity么？那应该是越大convexity对应reinvestment越小？同样的，也是convexity越大的，对应的针对yielcurve改变时的protection越大么？这个protection怎么去理解比较好？
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 老师请问，laerebon的现金流更均匀且分散，那不就是有更多的reinvestment risk吗？
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 由于B答案的convexity小于C答案，所以less protection from twist 和shift。为什么C错呢
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 现金流越分散，spersion越高，convexity越大: barbell laerebulletconvexity越大，protection from yielcurve change越小:bullet laer barbell现金流越早到期，reinvestment risk越大: barbell laerebullet现金流越平均，越是sirable liquity management:laer barbell bullet现金流分散和平均也不是一个意思，前者是现金流的时间差大，后者是现金流时间差相似。
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 老师，在这个问题之前的回答说【C是书上的原话，laereportfolio provi more protection from yielcurve shifts antwists。意思是在收益率曲线非平行移动时，laereportfolio表现更好，C说反了。】在提到structurrisk时候，structurrisk是因为利率发生非平行移动导致免疫策略失败的风险，解决方案是降低convexity。那说明小conxiety的组合（如bullet）在非平行移动时候表现更好，laere组合convexity大于bullet，所以非平行移动表现最好的是bullet吧？