为何选convexity小于标的物的？
duration-match不是允许min convexity吗？
问题如下图：
选项：
A. 
B. 
C. 
解释：
发亮_品职助教 · 2018年12月25日
这个是Multiple Liability，和Single liability的满足条件有一些不太一样。
关于Convexity的要求：
对于Single liability，是Asset要Min Convexity，原因是Sigle liability可以看成是Zero-coupon bond，ZCB的Convexity在相同Duration情况下最小，因此资产在match住Duration后也要Convexity最小，尽量模拟了Liability的特征。
对于Multiple liability，是Asset convexity要大于Liability convexity，理解上是资产的现金流要包裹住负债，因此资产的Convexity要大于负债的Convexity；
如果在Match multiple liability时，几个资产组合都满足Asset Convexity大于Liability Convexity，这时候，理论上都能做到Match multiple liability；
但是Asset Convexity在大于Liability convexity的基础上，asset convexity又最小的那个资产组合是最优的，因为Structural risk最小，能在一些非平行移动时，也能较好的Match multiple liability。
关于match Multiple liability时，资产convexity大于负债Convexity更详细的解释之前回答过一个，可以参考：
NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 老师，针对multiple liability immunization需要满足的条件，讲解视频中提的是3条如下①BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)②Convexity(asset) Convexity(liability)③Convexity(asset)在第②条的基础上选尽量小的但是，框架图里写的3条是①PV(asset) PV(liability)②BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)③Convexity(asset) Convexity(liability)不一样的地方我标黄了，请老师明确下考试的时候具体以哪个版本为准，还是说稳妥起见，咱们就按4条去满足？①PV(asset) PV(liability)②BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)③Convexity(asset) Convexity(liability)④Convexity(asset)在第③条的基础上选尽量小的
NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 老师 structurrisk 和 immunization 的关系是什么？可以说structurrisk 越大，越无法immunization吗？上题中portfolio c 的structurrisk 最大，为什们不是他最不可能immunization liability?麻烦帮忙解答一下
NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 我记得是不是要求convexity要大于portfolio的convexity， 在里边再选一个最小的，A 的convexity 小于portfolio啊
NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 能定位下BPV这个知识点在哪个reang的哪里吗
NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 老师，single liability 和multiple liability 免疫条件不一样吧？single的需要看BPV吗？