NO.PZ2019103001000027
问题如下：
Which of the portfolios in Exhibit 1 best minimizes the structural risk to a single-liability immunization strategy?
选项：
A.Portfolio 1
Portfolio 3
Portfolio 4
解释：
C is correct.
Structural risk to immunization arises from twists and non-parallel shifts in the yield curve. Structural risk is reduced by minimizing the dispersion of cash flows in the portfolio, which can be accomplished by minimizing the convexity for a given cash flow duration level. Because Portfolio 4 has the lowest convexity compared with the other two portfolios and also has a Macaulay duration close to the liability maturity of nine years, it minimizes structural risk.
在多笔liabilities下的情况下，由于Libility多笔所以到期所需的现金流是分散开的，所以投资债券产生现金流到账也是分散的，得到条件convexityA＞convexityL
如果给个表格要求选择最佳的portfolio时，假如选项A和选项B都是资产＞负债，且BPVA=BPVL，而且Convexity（资产）＞Convexity（Liablity）。在这样的情况下是不是要选Convexity相对较小的那个？
