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Pina · 2021年04月05日

为什么不是52.5-52.5*0.45 ?

NO.PZ2018091701000077

问题如下:

Smith has a bond portfolio which consists two zero-coupon bonds. Bond 1 has a duration of 3.5 year, and the market value is $47.5 million. Bond 2 has a duration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must be within 45%-55%. It is expected that the yield curve will parallel shift 20bp upward. To reduce the interest rate risk, Smith should:

选项:

A.

Buy $7.5 million Bond 2 and invest $7.5 million in Bond 1

B.

Sell $7.5 million Bond 2 and invest $7.5 million in Bond 1

C.

Sell $2.5 million Bond 1 and invest $2.5 million in Bond 2

解释:

B is correct.

考点:fixed-income exposure measures。

解析 : Duration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小Duration , Smith应该卖掉Duration大的债券 , 购买Duration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bond 2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bond 1 。

老师好,为什么不是 52.5-52.5*0.45 而是 52.5-45=7.5,?谢谢。

1 个答案
已采纳答案

星星_品职助教 · 2021年04月06日

同学你好,

从题干中的“The range of portfolio asset weights must be within 45%-55%”可知,每只债券的可投资范围是整个资产规模的45%-55%。

而本题的整个资产规模(bond portfolio which consists two zero-coupon bonds)是bond 1+ bond 2,即47.5+52.5=100m,所以每只债券最少买45m,最多买55m。

所以bond 2最多可以卖掉 52.5-45=7.5m,减45是保留bond 2最低金额45m的意思。

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