NO.PZ2018120301000025
问题如下：
Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:
Which
of Molly’s statements about liability-driven investing is (are) correct?
选项：
A.Statement 1 only.
Statement 2 only.
Both Statement 1 and Statement 2.
解释：
Correct Answer: C
C is correct. Molly is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.
老师您好，statement 1对应的知识点在哪里；
statement 2 感觉有问题，cashflow duration 仍然是会有reinvestment risks的，如何mitigate；另外，消除risks from unparalleled yield change,方法就是convexity最小化，或者构建bullet portfolio，但cashflow duration一般都是coupon bearing 的bonds，如何convexity最小化？
