NO.PZ2018120301000016
问题如下：
Based
on Exhibit 2, relative to Portfolio C, Portfolio B:
选项：
A.has higher cash flow reinvestment risk.
B.is a more desirable portfolio for liquidity management.
C.provides less protection from yield curve shifts and twists.
解释：
Correct Answer: B
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.
这里说B对于非平行移动也就是structure risk的protection更好。 但是convexity不是描述消除structure risk的指标吗，这里C的convexity更大，为什么不代表他在非平行移动的时候保护性更好，也就是structure risk lower？
