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lxwfj9 · 2023年12月13日

关于最小化convexity

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000027

问题如下：

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.

which of the portfolios in Exhibit 1 best minimizes the structural risk to a single-liability immunization strategy

选项：

A.

Portfolio 1

B.

Portfolio 3

C.

Portfolio 4

解释：

Correct Answer: C

C is correct. Structural risk to immunization arises from twists and non-parallel shifts in the yield curve. Structural risk is reduced by minimizing the dispersion of cash flows in the portfolio, which can be accomplished by minimizing the convexity for a given cash flow duration level. Because Portfolio 4 has the lowest convexity compared with the other two portfolios and also has a Macaulay duration close to the liability maturity of nine years, it minimizes structural risk

老师，零息债券convexity最小，但是零息债券是barbell，barbell的convexity不是最大吗？我是哪里搞错了？

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1 个答案

pzqa015 · 2023年12月13日

嗨，爱思考的PZer你好：


barbell指的是组合，组合就不能由一只债券组成

所以不能说零息债券是barbell

barbell最大的前提是与bullet、laddered相比，duration相同的时候，barbell最大。

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