NO.PZ2018120301000015
问题如下：
Thesecond project for Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexityof 33.05, and basis point value (BPV) of $10,505. Serena suggested employing aduration-matching strategy using one of the three AAA rated bond portfoliospresented in Exhibit 2.
Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities?
选项：
A.
Portfolio A
B.
Portfolio B
C.
Portfolio C
解释：
Correct Answer: A
A is correct. The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.
如题，为什么asset 凸度要大于负债凸度才可以呢？
