NO.PZ2023032703000088
问题如下：
Serena Soto is a risk management
specialist with Liability Protection Advisors. Trey Hudgens, CFO of Kiest
Manufacturing, enlists Soto’s help with three projects.
The second project
for Soto is to help Hudgens immunize a $20 million portfolio of liabilities.
Soto suggested employing a duration-matching strategy using one of the three
AAA rated bond portfolios presented in Exhibit 2.
Exhibit 2 Possible AAA
Rated Duration-Matching Portfolios
Based on Exhibit 2, relative to Portfolio C, Portfolio B
选项：
A.has higher cash flow reinvestment risk.
B.is a more desirable portfolio for liquidity management.
C.provides less protection from yield curve shifts and twists.
解释：
Correct Answer: B
B is correct. Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management.
组合C是barbell portfolio，convexity最大，在yield curve shift的时候，表现好于laddered portfolio
