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WINWIN8 · 2024年12月27日

Mac.d疑问

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000027

问题如下：

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.

which of the portfolios in Exhibit 1 best minimizes the structural risk to a single-liability immunization strategy

选项：

A.

Portfolio 1

B.

Portfolio 3

C.

Portfolio 4

解释：

Correct Answer: C

C is correct. Structural risk to immunization arises from twists and non-parallel shifts in the yield curve. Structural risk is reduced by minimizing the dispersion of cash flows in the portfolio, which can be accomplished by minimizing the convexity for a given cash flow duration level. Because Portfolio 4 has the lowest convexity compared with the other two portfolios and also has a Macaulay duration close to the liability maturity of nine years, it minimizes structural risk

老师，这道题也只给了portfolio due in nine years，这个9年是指它的investment horizon嘛，那它的mac.d算下来应该比9小。然后下面portfolio 3 投资期也是9年，mac.d算下来=8， 选portfolio 3是不是也挺合理的？

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