NO.PZ2018122701000062
问题如下：
Given the following bond portfolios:
Which of the following statements is correct?
选项：
A.Portfolio 1 is a barbell portfolio.
B.Portfolio 2 is a bullet portfolio.
C.It is impossible for Portfolios 1 and 2 to have the same duration.
D.Portfolio 2 will have greater convexity than Portfolio 1.
解释：
D is correct.
考点Measures of Pricing Sensitivity Based on Parallel Yield Shifts
解析Since Portfolio 2 has more long-term bonds than short-term bonds and since convexity is related to the square of maturity, Portfolio 2 will have greater convexity. The other statements are incorrect. Portfolio 1 is a bullet portfolio (concentrated in intermediate maturities), and Portfolio 2 is a barbell. It is possible for a bullet and a barbell to have the same duration. In fact, adding the duration contribution of both portfolios gives a duration value of 8.15.
Portfolio 1 is a bullet portfolio (concentrated in intermediate maturities), and Portfolio 2 is a barbell
能讲的更具体吗？
我理解 portfolio1的久期在1.3和3.5左右，这种其实现金流并不分散，为什么还是bullet。
在债券投资策略中，如何确认bullet和barbell?
