这题的知识点在哪里?7.5怎么算出来的?答案没看懂
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NO.PZ2018091701000077 问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. He must remain fully investeall times. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 ?
NO.PZ2018091701000077问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. He must remain fully investeall times. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 卖出上限为什么是那两个值相减?
NO.PZ2018091701000077问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 为什么利率上升时,要减少ration大的债券的比重?这道题目是什么意思
NO.PZ2018091701000077 问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 因为range是45-55,那么BON最多不是可以都卖掉吗,假设有52.5,全卖掉也在range范围内,为什么减掉45,这代表什么含义呢,麻烦老师详细一下谢谢
Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct. 考点fixeincome exposure measures。 解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 这个7.5计算,我完全没明白…………45%不是一个权重吗?为什么直接减