NO.PZ2023052301000043
问题如下:
The duration gap at which reinvestment risk and price risk are equal is:
选项:
A.
less than zero.
B.
equal to zero.
C.
greater than zero.
解释:
B is correct. Reinvestment risk and price risk equally offset each other when an investor’s investment horizon equals a bond’s Macaulay duration. This is when the duration gap is zero.
A is incorrect because a duration gap of less than zero means that Macaulay duration is less than the investor’s investment horizon and that reinvestment risk is higher than price risk.
C is incorrect because when the duration gap is greater than zero, the Macaulay duration is greater than the investor’s investment horizon, so price risk is higher than reinvestment risk.
duration大的时候reinvest risk不是更高么?