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Olivia.W🌸 · 2023年12月07日

duration大的时候reinvest risk不是更高么?

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?

1 个答案

pzqa015 · 2023年12月07日

嗨,从没放弃的小努力你好:


duration gap=mac duration-investment horizon

mac duration衡量的是price risk;investment horizon衡量的是reinvestment risk。

只有duration gap=0,price risk与reinvestment risk才可以offset

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