NO.PZ2018120301000035
问题如下:
A
Radford School Board member has stated that she prefers a bond portfolio
structure that provides diversification over time, as well as liquidity. In
addressing the board member’s inquiry, Hui examines a bullet portfolio, a
barbell portfolio, and a laddered portfolio.
Which portfolio structure should Hui recommend that would satisfy the school board member’s preference?
选项:
A.
Bullet portfolio
B.
Barbell portfolio
C.
Laddered portfolio
解释:
Correct Answer: C
C is correct. The laddered approach provides both diversification over time and liquidity. Diversification over time offers the investor a balanced position between two sources of interest rate risk: cash flow reinvestment and market price volatility. In practice, perhaps the most desirable aspect of a laddered portfolio is liquidity management, because as time passes, the portfolio will always contain a bond close to maturity.
在FI前两章中提到zero coupon bond 是对yield curve 的平行移动和非平行移动是不会发生变化的,可以用来做immunization。
请问zero coupon bond 不是bullet 的一种吗,那它的convexity 应该更小才对呀