NO.PZ202209060200004006
问题如下：
Of the differences between a laddered strategy for fixed-income portfolios and bullet and barbell strategies described by Honanie, which is least likely correct?选项：
A.Difference 3 B.Difference 2 C.Difference 1解释：
SolutionC is correct. Given the same value and duration, of the three types, the bullet portfolio would have the lowest convexity and the barbell portfolio would have the highest. The laddered portfolio would have a convexity in between the two.
A is incorrect because the laddered portfolio would regularly buy new long-term securities to replace maturing securities on the short end. To the extent interest rates are volatile, the laddered portfolio would eventually contain a mixture (diversity) of high- and low-yielding securities.
B is incorrect because the laddered portfolio would always have some securities with little time remaining before maturity. These would be good collateral for a repo or loan or would shortly turn into cash (upon maturity), thus providing high liquidity.
为什么barbell的convexity最high？ bullet convexity lowest?
