问题如下：
Wang is a fixed-income portfolio manager who manages a fixed-income portfolio in a wealth management firm. Currently, the yield curve is upward sloping, and Wang believes that it will become steeper over the next 12-month with the short-term yields rising 0.5% and the long-term yield rising 1.2%. The duration of the fund is allowed to fluctuate ±0.2 from its benchmark duration and the fund’s current duration equals to that of benchmark. The portfolio includes MBS and is allowed to use options. Based on Wang’s expectation, which of the following strategy can increase the portfolio’s return relative to its benchmark?
选项：
A. Implement a barbell structure.
B. Reduce the portfolio’s duration relative to its benchmark.
C. Riding the yield curve.
解释：
B is correct
考点：考察收益率曲线变动时，对应的策略
解析：预测收益率曲线将会变得更加陡峭，短期、长期利率上升，但是长期利率上升更大幅度，这种情况下，A选项中的Barbell策略将会有亏损，因为长期债表现不好。对于该收益率曲线的变动，短期长期都有上升，这种收益率曲线的变动可以进一步拆解成整个曲线先向上平行移动0.5%，随后长期利率再相对短期上升0.7%，斜率变得更加陡峭。对于平行上升的曲线，降低整个Portfolio的Duration是有利的。对于C选项，Riding the yield curve前提就是收益率曲线Stable，本题不符合该条件。
老师请问一下，选择缩小duration的话，不就就跟题目中要求的上下允许浮动0.2矛盾了？
