23:
i choose portfolio A
matching single liability need to satisifed:
- MV of asset =PV of liability(234,535 USD) , b not satisifed
- Mac.D asset = Mac.D liability(10), C not satisfied
- minmize convexity to minimize structure risk
24:
I choose portfolio 2
matching multiple liability need to satisfied:
- money duration of asset=money duation of liability(2,609,700),all satisfied
- Convexity of asset > Convexity of liability(135.142), C not satisfied, to minimize structure risk, choose smaller convexity, which is portfolio 2
- MV of asset larger or equal to PV of liabilty(230,372), all satisfied
是否足够精简谢谢老师
