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常晓磊 · 2023年12月03日

b选项duration不够啊

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004105

问题如下：

Which of the portfolios described in Exhibit 2 would most likely be recommended by Maestre?

选项：

A.Portfolio A

B.Portfolio B

C.Portfolio C

解释：

Solution

B is correct. The three portfolios have essentially the same cash flow yield. They also have Macaulay durations very close to the horizon for the liability (i.e., 6.5 years). Therefore, the question is one of convexity, and the differences in convexity are meaningful. Although more (positive) convexity is generally desired by fixed-income investors, the goal of ALM is to minimize the dispersion of cash flows around the Macaulay duration and make the portfolio more like the zero-coupon liability it is attempting to immunize. Therefore, Portfolio B should be recommended because it has the lowest convexity. Minimizing the portfolio convexity (i.e., the dispersion of cash flows around the Macaulay duration) makes the portfolio closer to the zero-coupon bond that would provide perfect immunization.

A is incorrect because Portfolio A has a substantially larger convexity than Portfolio B.

C is incorrect because Portfolio C has a substantially larger convexity than Portfolio B.

b选项duration不够啊

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1 个答案

pzqa015 · 2023年12月04日

嗨，爱思考的PZer你好：


单笔现金流免疫的条件是mac duration=investment horizon，但实务中一般很难完全相等，近似相等即可。

负债的投资期是6.5年，三个Portfolio的mac duration分别是6.5、6.52和6.47，都可以认为是近似相等的。所以，这道题主要是根据convexity来判断。

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