cash flow yield

NO.PZ2018120301000015 问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. A答案

NO.PZ2018120301000015问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 如果不考虑其他因素，仅仅看cash flow yiel哪个asset portfolio的cash flow yiel以满足liability portfolio的cash flow yiel 是大于还是小于好？

NO.PZ2018120301000015问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 请问答案是不是有问题，asset的convexity应该包含liability的convexity，答案应该选B

NO.PZ2018120301000015问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 如题，为什么asset 凸度要大于负债凸度才可以呢？

NO.PZ2018120301000015 问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 這裡少了一個資產要大於負債的條件嗎? 要不然三個應該都不能匹配吧