No.PZ201812020100000504
来源: 原版书
The effects of a non-parallel shift in the yield curve on Strategy 2 can be reduced by:
正确答案是: A
A
minimizing the convexity of the bond portfolio.
B
maximizing the cash flow yield of the bond portfolio.
C
不正确minimizing the difference between liability duration and bond-portfolio duration.
A is correct.
Minimizing the convexity of the bond portfolio minimizes the dispersion of the bond portfolio. A non-parallel shift in the yield curve may result in changes in the bond portfolio’s cash flow yield. In summary, the characteristics of a bond portfolio structured to immunize a single liability are that it (1) has an initial market value that equals or exceeds the present value of the liability, (2) has a portfolio Macaulay duration that matches the liability’s due date, and (3) minimizes the portfolio convexity statistic.
