NO.PZ2023032703000090
问题如下：
Adams and junior portfolio manager
Frank Neeson review the fixed-income portfolios of two new defined benefit plan
clients, Lawson Doors & Cabinets, Inc., and Wharton Farms.
Neeson comments,
“The durations for almost half of the bonds in the Wharton portfolio are
clustered around 4 years, and the durations of the remainder around 12 years,
while the durations of the Lawson portfolio bonds are clustered between 6 years
and 8 years. In general, a laddered bond portfolio approach would improve liquidity
management for both, although the Lawson portfolio would experience an increase
in cash flow reinvestment risk and the Wharton portfolio would experience a
decrease in convexity.”
Is Neeson most likely correct in his assessment of the effects of a laddered bond portfolio approach on the Wharton and Lawson portfolios? (2019 mock AM)
选项：
A.Yes
B.No, because the Lawson portfolio is a bullet portfolio where the duration of its assets are matched to the duration of its liabilities
C.No, because the duration of the Wharton liabilities is greater than that of the Lawson liabilities owing to the younger age of its participants
解释：
Correct Answer: A
A is correct. A laddered portfolio has lower convexity and dispersion than a barbell portfolio but more than a bullet portfolio, given comparable duration and cash flow yields. Lower convexity and dispersion are desirable aspects in liquidity management. In a laddered portfolio, there is always a bond close to redemption enhancing liquidity. As bonds mature, the final coupon and principal are available for distribution or can be reinvested in a long-term bond at the back of the ladder. The Wharton portfolio is more of a barbell, has higher convexity than the Lawson portfolio, and would see a larger reduction in cash flow reinvestment risk with the reduction of convexity.
Neither duration nor the projected life of the plan reveal the convexity or dispersion characteristics of the portfolio.
"although the Lawson portfolio would experience an increase in cash flow reinvestment risk and the Wharton portfolio would experience a decrease in convexity."
题目中的这句话不对啊，Lawson 是 laddered portfolio， wharton是 bullet portfolio。为什么Lawson 有 cash flow reinvestment risk呢？还有怎么理解wharton would experience a decrease in convexity？
