NO.PZ2018120301000033
问题如下：
Doug, the newly hired chief financial officer for the City of Radford, asks the deputy financial manager, Hui, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.
Hui
observes that the current fixed-income portfolio is structured to match the
duration of each liability. Previously, this structure caused the city to
access a line of credit for temporary mismatches resulting from changes in the
term structure of interest rates.
Doug asks Hui for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:
The
effects of a non-parallel shift in the yield curve on Strategy 2 can be reduced
by:
选项：
A.minimizing the convexity of the bond portfolio.
B.maximizing the cash flow yield of the bond portfolio.
C.minimizing the difference between liability duration and bond-portfolio duration.
解释：
Correct Answer: A
A is correct. Minimizing the convexity of the bond portfolio minimizes the dispersion of the bond portfolio. A non-parallel shift in the yield curve may result in changes in the bond portfolio’s cash flow yield. In summary, the characteristics of a bond portfolio structured to immunize a single liability are that it (1) has an initial market value that equals or exceeds the present value of the liability, (2) has a portfolio Macaulay duration that matches the liability’s due date, and (3) minimizes the portfolio convexity statistic.
当收益率曲线变化的时候，核心是macd不等于bond-portfolio duration了，
那最小化他们之间的差距为何不可？让macd再次等于bond-portfolio duration，不就又可以immunization了
minimizing the difference between liability duration and bond-portfolio duration.
