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toffee · 2023年05月23日

这题答案

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NO.PZ202112010200000108

问题如下:

If the manager has a positive butterfly view on Australian government yields-to-maturity, the best portfolio position strategy to pursue is to:

选项:

A.

purchase the bullet portfolio and sell the barbell portfolio.

B.

sell the bullet portfolio and sell the barbell portfolio.

C.

purchase the equally weighted portfolio and sell the barbell portfolio.

解释:

A is correct.

A positive butterfly view indicates an expected decrease in the butterfly spread due to an expected rise in short- and long-term yields-to-maturity combined with a lower medium-term yield-to-maturity.

The investor therefore benefits from a long medium-term (bullet) position and a short short-term and long-term (barbell) portfolio. The portfolio in answer B represents the opposite exposure and benefits from a negative butterfly view, while in C, combining short barbell and long equally weighted portfolios leaves the investor with bullet portfolio exposure.

选项B是不是打印错误,两个全是sell


1 个答案

pzqa015 · 2023年05月25日

嗨,爱思考的PZer你好:


谈不上两个sell就错误吧,本来B就是错误选项。

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