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考拉 · 2024年01月22日

zero replication (immulization)条件有三种，目前只有mac duration 4满足，其他呢

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004602

问题如下：

According to the information in Exhibit 1 and assuming Berendsen retires in four years, the fixed-income portfolio most likely:

选项：

A.should have a shorter duration. B.needs a higher cash flow yield. C.has currently achieved zero replication.

解释：

Solution

C is correct. The portfolio’s Macaulay duration of approximately 4.0 matches the time horizon of the liability and can be calculated as follows:

[(Portfolio weightBond 1 × DurationBond 1) + (Portfolio weightBond 2 × DurationBond 2) + (Portfolio weightBond 3 × DurationBond 3)] ÷ 3 = 3.99.

When compared with the single liability due in four years, the portfolio has the same return and duration characteristics of a single zero-coupon bond maturing in four years. The interest rate risk has been immunized, which is known as zero replication.

A is incorrect because the portfolio’s current duration matches the duration of the liability, or retirement date.

B is incorrect because the cash flow yield matches the required investment return. Although not equivalent to investment return, it is likely the portfolio’s return will meet the required rate of return.

解析说：When compared with the single liability due in four years, the portfolio has the same return and duration characteristics of a single zero-coupon bond maturing in four years. The interest rate risk has been immunized, which is known as zero replication.


但zero replication (immulization)条件有三种，目前只有mac duration 4满足，其他条件如PV, convexity我没有在原文中找到啊，况且解析说的same return 也不算三个免疫条件中的一种啊

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1 个答案

pzqa31 · 2024年01月22日

嗨，从没放弃的小努力你好：


这道题出的不好

用不到免疫的条件去判断是否match

题目说至少要达到4.%的收益，表格下面说收益是4.15%，所以可以cover负债。

所以不用纠结这道题哈。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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