NO.PZ2018120301000015
问题如下：
The second project for Serena is to help Trey immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexity of 33.05, and basis point value (BPV) of $10,505. Serena suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.
Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?
选项：
A.
Portfolio A
B.
Portfolio B
C.
Portfolio C
解释：
Correct Answer: A
A is correct. The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.
条件1 资产PV大于等于负债
条件2 资产BPV等于负债BPV
条件3 资产convexity 大于负债convexity ,并且尽量小
但是A不满足条件3啊，我眼睛花了吗😭
