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Viva · 2019年11月21日

问一道题:NO.PZ2019103001000026

问题如下:

Mowery informs Compton that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.

Compton provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Compton explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项:

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释:

B is correct.

In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

为什么不选portfolio 4,duration 9.1也很接近?

1 个答案

发亮_品职助教 · 2019年11月21日

嗨,从没放弃的小努力你好:


如果选项有Portfolio 4的话,选Portfolio 4。4个组合里,Portfolio 4是最优的,Macaulay duration接近;且Convexity数据最小。


-------------------------------
努力的时光都是限量版,加油!


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