NO.PZ201812020100000407
问题如下：
Which of the portfolios in Exhibit 1 best minimizes the structural risk to a single-liability immunization strategy?
选项：
A.Portfolio 1
B.Portfolio 3
C.Portfolio 4
解释：
C is correct.
Structural risk to immunization arises from twists and non-parallel shifts in the yield curve. Structural risk is reduced by minimizing the dispersion of cash flows in the portfolio, which can be accomplished by minimizing the convexity for a given cash flow duration level. Because Portfolio 4 has the lowest convexity compared with the other two portfolios and also has a Macaulay duration close to the liability maturity of nine years, it minimizes structural risk.
题目中没有说asset的convexity是多少啊，如果portfolio 4的convexity比负债的要小，也不能免疫吧？
