NO.PZ2018120301000037
问题如下:
Schuylkill and Chaopraya now discuss Option 2. Chaopraya estimates the present value of the four future cash flows as $230,372, with a money duration of $2,609,700 and convexity of 135.142. She considers three possible portfolios to immunize the future payments, as presented in Exhibit 2.
Determine
the most appropriate immunization portfolio in Exhibit 2. Justify your
decision.
选项:
解释:
Answer:
Justification:
Portfolio
2 is the most appropriate immunization portfolio because it is the only one
that satisfies the following two criteria for immunizing a portfolio of
multiple future outflows:
The
immunizing portfolio needs to be greater than the convexity (and dispersion) of
the outflow portfolio. But, the convexity of the immunizing portfolio should be
minimized in order to minimize dispersion and reduce structural risk
在market value 满足的前提下,应该选择最精确的money duration匹配吧?
这里三个portfolio 都满足了market value 大于 PV of liability ;然后Portfolio 3 的money duration is 2609 707 ,the money duration of the liability is 2609700;在money duration 匹配的基础上,再最后考虑凸度的匹配吧?凸度只是二阶导的影响,所以影响力没有money duration来的重要;为什么放着money duration能精确匹配的不选,要选择近似匹配的其他选项;