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.
is a more desirable portfolio for liquidity management.
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?