cash flow yield对duration matching有用吗

NO.PZ2023032703000021 问题如下 Beatriz Maestre is a fixeincome consultant who hbeen retaineFilipe Ruelas, the CFO of Cáva Protos Agricolas, SA (Cáva). Cáva is a manufacturer of preparefoo heauarterein BragPortugal.Maestre scusses example of a single liability oweCáva, a EUR 2.3 million balloon payment e to the former CEO of the company in approximately six ana half years a part of her ferrecompensation package.Maestre tells the group, “Suppose you wanteto immunize this liability. One wto so woulto purchase zero-coupon bon with essentially zero cret risk thmature in six-ana-half years anhave a favalue of EUR 2.3 million. Unfortunately, no zero-coupon bon are available with this maturity. Therefore, a portfolio of high-quality government bon with a ration of approximately six-ana-half years couluse although this portfolio might have to austeover time to maintain a matcheration with the liability.” She proposes to seleone of the three portfolios shown in Exhibit 2.Whiof the portfolios scribein Exhibit 2 woulmost likely recommenMaestre? A.Portfolio B.Portfolio C.Portfolio B is correct. The three portfolios have essentially the same cash flow yiel They also have Macaulrations very close to the horizon for the liability (i.e., 6.5 years). Therefore, the question is one of convexity, anthe fferences in convexity are meaningful. Although more (positive) convexity is generally sirefixeincome investors, the goof ALM is to minimize the spersion of cash flows arounthe Macaulration anmake the portfolio more like the zero-coupon liability it is attempting to immunize. Therefore, Portfolio B shoulrecommenbecause it hthe lowest convexity. Minimizing the portfolio convexity (i.e., the spersion of cash flows arounthe Macaulration) makes the portfolio closer to the zero-coupon bonthwoulprovi perfeimmunization. 这道题之前做对了，但是这次错了，想问的就是，这道题是因为虽然没有提到liability convexity的数值，但是因为需要minimize convexity, 所以在macaulration差不多的情况下，就选minimum convexity的portfolio。思路是这样的吗？另外，想问一下是不是没有任何情况会通过cash flow yiel断？如果有，会是什么样的问题 设定?

NO.PZ2023032703000021 问题如下 Beatriz Maestre is a fixeincome consultant who hbeen retaineFilipe Ruelas, the CFO of Cáva Protos Agricolas, SA (Cáva). Cáva is a manufacturer of preparefoo heauarterein BragPortugal.Maestre scusses example of a single liability oweCáva, a EUR 2.3 million balloon payment e to the former CEO of the company in approximately six ana half years a part of her ferrecompensation package.Maestre tells the group, “Suppose you wanteto immunize this liability. One wto so woulto purchase zero-coupon bon with essentially zero cret risk thmature in six-ana-half years anhave a favalue of EUR 2.3 million. Unfortunately, no zero-coupon bon are available with this maturity. Therefore, a portfolio of high-quality government bon with a ration of approximately six-ana-half years couluse although this portfolio might have to austeover time to maintain a matcheration with the liability.” She proposes to seleone of the three portfolios shown in Exhibit 2.Whiof the portfolios scribein Exhibit 2 woulmost likely recommenMaestre? A.Portfolio B.Portfolio C.Portfolio B is correct. The three portfolios have essentially the same cash flow yiel They also have Macaulrations very close to the horizon for the liability (i.e., 6.5 years). Therefore, the question is one of convexity, anthe fferences in convexity are meaningful. Although more (positive) convexity is generally sirefixeincome investors, the goof ALM is to minimize the spersion of cash flows arounthe Macaulration anmake the portfolio more like the zero-coupon liability it is attempting to immunize. Therefore, Portfolio B shoulrecommenbecause it hthe lowest convexity. Minimizing the portfolio convexity (i.e., the spersion of cash flows arounthe Macaulration) makes the portfolio closer to the zero-coupon bonthwoulprovi perfeimmunization. https://class.pzacamy.com/qa/167667模考题同样问题（请看我上次有问必答），single liability， amration完全match， b mration 小幅不一致但convexity 最小。 这里选b 但是模考那边选了a

NO.PZ2023032703000021问题如下 Beatriz Maestre is a fixeincome consultant who hbeen retaineFilipe Ruelas, the CFO of Cáva Protos Agricolas, SA (Cáva). Cáva is a manufacturer of preparefoo heauarterein BragPortugal.Maestre scusses example of a single liability oweCáva, a EUR 2.3 million balloon payment e to the former CEO of the company in approximately six ana half years a part of her ferrecompensation package.Maestre tells the group, “Suppose you wanteto immunize this liability. One wto so woulto purchase zero-coupon bon with essentially zero cret risk thmature in six-ana-half years anhave a favalue of EUR 2.3 million. Unfortunately, no zero-coupon bon are available with this maturity. Therefore, a portfolio of high-quality government bon with a ration of approximately six-ana-half years couluse although this portfolio might have to austeover time to maintain a matcheration with the liability.” She proposes to seleone of the three portfolios shown in Exhibit 2.Whiof the portfolios scribein Exhibit 2 woulmost likely recommenMaestre? A.Portfolio AB.Portfolio BC.Portfolio B is correct. The three portfolios have essentially the same cash flow yiel They also have Macaulrations very close to the horizon for the liability (i.e., 6.5 years). Therefore, the question is one of convexity, anthe fferences in convexity are meaningful. Although more (positive) convexity is generally sirefixeincome investors, the goof ALM is to minimize the spersion of cash flows arounthe Macaulration anmake the portfolio more like the zero-coupon liability it is attempting to immunize. Therefore, Portfolio B shoulrecommenbecause it hthe lowest convexity. Minimizing the portfolio convexity (i.e., the spersion of cash flows arounthe Macaulration) makes the portfolio closer to the zero-coupon bonthwoulprovi perfeimmunization. 题目里m6，52 大于债务到期时间 为什么不选A