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little_back · 2022年03月20日

请问老师,portfolio B 对portfolio A 来说,是不是也是protection more from shift and twist?

NO.PZ2019103001000016

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.

请问老师,portfolio B 对portfolio A 来说,是不是也是protection more from shift and twist?

因为短中长的现金流平均分布在investment horizon中,provide more balance between RI risk and price risk?

2 个答案

pzqa015 · 2023年09月03日

嗨,爱思考的PZer你好:


twist and shift指的就是非平行移动。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa015 · 2022年03月21日

嗨,从没放弃的小努力你好:


是的,laddered portfolio provide more protection from yield curve twists and shifts。

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加油吧,让我们一起遇见更好的自己!

sangt2007 · 2023年09月02日

这个shifts包含parallel和non parallel?

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NO.PZ2019103001000016 讲义里说versification会带来Cash flow RI risk.

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