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颖哲 · 2021年05月14日

请问这题为什么不选portfolio C

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

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.

为什么不用期限正好是9年的？cash flow matching正好能匹配上

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pzqa015 · 2021年05月15日

嗨，爱思考的PZer你好：


同学你好，题干有句话“she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation”这句话就是我们做single liability immunization的基本原理，所以，根据这句话，我们可以判断出不用cash flow matching ，而用duration matching 。


而且，portfolio3的平均到期时9年，说明portfolio中有超过9年的债，那么需要在9年这个时间点卖出，我们做cash flow matching，是不卖债的，所有债的必须在liability到期前到期，用本金来cover liability的现金流支出，根据这一点，也可以判断，不能是cash flow matching。

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