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：
SolutionB 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.
一般duration差多少可以忽略不计，算是close match？有的题目是MD=investment horizon 这个条件优先考虑吧？
