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nilidgnauh · 2024年12月23日

能不能详细解释一下different A

NO.PZ2022090602000048

问题如下:

The Abiquia asset portfolio benchmark has a US Treasury debt component. Puhuyesva asks Honanie to explore choices for that piece of the portfolio and provide an executive summary to her. Honanie’s summary compares laddered, bullet, and barbell portfolio structures, assuming the same portfolio value and duration, and highlights three key differences.

  • Difference 1: The laddered portfolio would have lower convexity than the other portfolio styles.

  • Difference 2: The laddered portfolio would provide for better liquidity management relative to the other portfolio styles.

  • Difference 3: The laddered portfolio would provide better diversification over the interest rate cycle compared with the other portfolio styles.

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:

C 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.

ladder bullet barbell的convexity应该是怎样分析?

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NO.PZ2022090602000048 问题如下 The Abiquia asset portfolio benchmark ha US Treasury component. Puhuyesva asks Honanie to explore choices for thpieof the portfolio anprovi executive summary to her. Honanie’s summary compares laere bullet, anbarbell portfolio structures, assuming the same portfolio value anration, anhighlights three key fferences.fferen1: The laereportfolio woulhave lower convexity ththe other portfolio styles.fferen2: The laereportfolio woulprovi for better liquity management relative to the other portfolio styles.fferen3: The laereportfolio woulprovi better versification over the interest rate cycle comparewith the other portfolio styles.Of the fferences between a laerestrategy for fixeincome portfolios anbullet anbarbell strategies scribeHonanie, whiis least likely correct? A.fferen3 B.fferen2 C.fferen1 C is correct. Given the same value anration, of the three types, the bullet portfolio woulhave the lowest convexity anthe barbell portfolio woulhave the highest. The laereportfolio woulhave a convexity in between the two.A is incorrebecause the laereportfolio woulregularly buy new long-term securities to replamaturing securities on the short en To the extent interest rates are volatile, the laereportfolio wouleventually contain a mixture (versity) of high- anlow-yielng securities.B is incorrebecause the laereportfolio woulalways have some securities with little time remaining before maturity. These woulgoocollaterfor a repo or loor woulshortly turn into cash (upon maturity), thus proving high liquity. 如果“ the bullet portfolio woulhave the lowest convexity anthe barbell portfolio woulhave the highest. The laereportfolio woulhave a convexity in between the two.”那是不是说明其实bullet其实比laere加分散,但讲义上明明写的是laere具有versification的效果啊?

2025-02-25 10:38 1 · 回答