NO.PZ2023052301000044
问题如下：
When an investor’s investment horizon is less than a bond’s Macaulay duration, the investor faces downside risk if, after the purchase of the bond, interest rates:
选项：
A.
decrease.
B.
increase.
C.
either decrease or increase.
解释：
B is correct. If the investment horizon is less than the bond’s Macaulay duration, then the investor’s risk is higher interest rates. For such an investor, the market price risk dominates the coupon reinvestment risk.
A is incorrect because an investor faces risk due to a lower interest rate when the investment horizon is greater than the bond’s Macaulay duration.
C is incorrect because when the investment horizon is less than the Macaulay duration, the investor faces risk due to higher interest rates, not lower interest rates.
根据题目信息可推断出：Du ration gap 大于0，所以 interest rate risk占主导。当interest rate risk 下降，这个投资者就会面临down side risk.不知道我这个思考过程哪里出错了呢？
