NO.PZ2023052301000045
问题如下：
An investor purchases a 12-year, 5.8% annual bond and intends to sell it after 10 years. The Macaulay duration of the bond is 8.97 years. If interest rates fall by 75 bps immediately after the purchase of the bond, the investor faces:
选项：
A.negative reinvestment risk.
no reinvestment risk.
positive reinvestment risk.
解释：
A is correct. The investor has an investment horizon of 10 years, which is greater than the Macaulay duration of 8.97 years. Therefore, reinvestment risk dominates price risk.
B is incorrect because the investor faces reinvestment risk because the investment horizon is higher than the Macaulay duration.
C is incorrect because the investor faces negative coupon reinvestment risk, not positive coupon reinvestment risk, since the coupons will be reinvested at a lower interest rate.
我理解这里的gap算出来是负值，代表投资者面临reinvestment risk，但是答案选项：
negative reinvestment risk和positive reinvestment risk
negative的risk不应该被理解成负的风险，即没有风险吗
positive的risk才应该是有风险呀
