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betty__smile · 2021年09月17日

C为什么不对,convexity 比barbell小 保护少啊

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NO.PZ201812020100000304

问题如下:

Based on Exhibit 2, relative to Portfolio C, Portfolio B:

选项:

A.

has higher cash flow reinvestment risk.

B.

is a more desirable portfolio for liquidity management.

C.

provides less protection from yield curve shifts and twists.

解释:

B is correct.

Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management

同标题,c为什么不对

2 个答案

pzqa015 · 2021年09月18日

嗨,爱思考的PZer你好:


C选项是书上的原话,laddered portfolio provide more protection from yield curve shifts and twists。意思是在收益率曲线非平行移动时,laddered portfolio表现更好,C选项说反了。convexity主要保护收益率曲线平行移动,在平行移动时convexity大的portfolio表现更好。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa015 · 2021年09月18日

嗨,努力学习的PZer你好:


C选项是书上的原话,laddered portfolio provide more protection from yield curve shifts and twists。意思是在收益率曲线非平行移动时,laddered portfolio表现更好,C选项说反了。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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