Classical immunization requires less capital to fund liabilities. This is because a) a cash flow matching strategy usually requires a conservative return assumption for short-term cash balances (and such balances may at times be significant) while an immunized portfolio is essentially fully invested at the remaining horizon duration; and b) funds from a cash flow-matched portfolio must be available on or before each liability due date, which tends to reduce the assumed rate of return. A classically immunized portfolio needs to meet the target value only on the date of each liability, because funding is achieved by a rebalancing of the portfolio.
2013真题Q8 PART A答案第三段如上
疑问1
a) b)两个小点中
conservative return assumption 和 tends to reduce the assumed rate of return. 意思相同呀
a)与b)
不是重复了吗
疑问2
because funding is achieved by a rebalancing of the portfolio.
HOW TO ACHIEVE?基础课和强化课上，老师都没讲吧