NO.PZ2018120301000016
问题如下：
Based
on Exhibit 2, relative to Portfolio C, Portfolio B:
选项：
A.has higher cash flow reinvestment risk.
B.is a more desirable portfolio for liquidity management.
C.provides less protection from yield curve shifts and twists.
解释：
Correct Answer: B
B is correct. Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management.
我想关于convexity的 问题
- 可否这样理解，barbell 的convexity 更大，所以当利率曲线平行移动的时候，保护债券的效果更好。当债券非平行移动的时候，convexity越大的债券，面临的structure risk 更大
