NO.PZ2018120301000036
问题如下:
Chaopraya is an investment advisor for high-net-worth individuals. One of her clients, Schuylkill, plans to fund her grandson’s college education and considers two options:
The grandson will start college in 10
years. Schuylkill seeks to immunize the contribution today.
For Option 1, Chaopraya calculates the
present value of the $300,000 as $234,535. To immunize the future single outfow,
Chaopraya considers three bond portfolios given that no zero- coupon government
bonds are available.
The three portfolios consist of non-callable,
fixed-rate, coupon-bearing government bonds considered free of default risk.
Chaopraya prepares a comparative analysis of the three portfolios, presented in
Exhibit 1.
Chaopraya evaluates the three bond portfolios and selects one to recommend to Schuylkill.
Recommend the portfolio in Exhibit 1 that would best achieve the immunization. Justify your response
选项:
解释:
Justification:
Portfolio
A is the most appropriate portfolio because it is the only one that satisfies
the three criteria for immunizing a single future outflow (liability), given
that the cash flow yields are sufficiently close in value:
1.
Market Value: Portfolio A’s initial market
value of $235,727 exceeds the outflow’s present value of $234,535. Portfolio B
is not appropriate because its market value of $233,428 is less than the
present value of the future outflow of $234,535. A bond portfolio structured to
immunize a single liability must have an initial market value that equals or exceeds
the present value of the liability.
2.
Macaulay Duration: Portfolio A’s Macaulay
duration of 9.998 closely matches the 10-year horizon of the outflow. Portfolio
C is not appropriate because its Macaulay duration of 9.503 is furthest away
from the investment horizon of 10 years.
3.
Convexity: Although Portfolio C has the
lowest convexity at 108.091, its Macaulay duration does not closely match the
outflow amount. Of the remaining two portfolios, Portfolio A has the lower
convexity at 119.055; this lower convexity will minimize structural risk.
Default risk (credit risk) is not considered because the portfolios consist of
government bonds that presumably have default probabilities approaching zero.
Default
risk (credit risk) is not considered because the portfolios consist of
government bonds that presumably have default probabilities approaching zero.
谢谢老师