NO.PZ202112010200000106
问题如下：
The portfolio alternative with the least exposure to convexity is the:
选项：
A.bullet
portfolio.
barbell portfolio
equally weighted portfolio.
解释：
A is correct.
The bullet portfolio has the same convexity as the 45.5-year bond, or 22.1. The barbell portfolio in B has portfolio convexity of 45.05, = (4.9 + 85.2)/2, while the equally weighted portfolio has portfolio convexity of 37.4, = (4.9 + 22.1 + 85.2)/3
the least convexity exposure 按照原意翻译就是问哪个最小？ 而不是哪个convexity 的 structural risk 最大？
