问题如下图：
选项：
A. 
B. 
C. 
解释：
请问老师，这道题C为什么不对呢?
发亮_品职助教 · 2019年02月12日
C选项刚好描述反了，正确的为：
Portfolio B provides more protection from yield curve shifts and twists than portfolio C.
注意这里的描述是Yield curve shifts以及Twists，是收益率曲线的移动以及Twists；所以是包括收益率曲线的平行移动，和非平行移动的；
Portfolio B和Portfolio C在收益率曲线平行移动时，提供的保护一致，因为都是做到了免疫策略；但是在收益率曲线Twists时，Portfolio B提供的保护更多。
做好的免疫策略，在收益率曲线非平行移动时，资产组合存在Structural risk，即资产组合在收益率曲线非平行移动时，会出现无法Match liability的情况；
为了使得Structural risk足够小，就要控制资产组合Convexity的相对大小数据；在匹配单期负债中，要求了资产的Convexity尽可能的小，而在匹配多期负债时，要求了资产组合的Convexity在大于负债的Convexity情况下，再尽可能地保证资产的Convexity足够地小。
因此比较Portfolio B和Portfolio C在收益率曲线Twists时提供的保护，就是要比较这两个Portfolio哪个Structural risk小，即哪个Portfolio的Convexity小。Convexity越小的，Structural risk越小，提供的收益率曲线非平行移动时的保护越多。
直接根据表中的数据，Portfolio B的Convexity 34.51小于Portfolio C的Convexity 50.21，因此Portfolio B在收益率曲线Twists时提供的保护更多。
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management B我知道为什么对，但是A和C具体错在哪里呢reinvestment risk 大不大的衡量指标是什么，是convexity么？那应该是越大convexity对应reinvestment越小？同样的，也是convexity越大的，对应的针对yielcurve改变时的protection越大么？这个protection怎么去理解比较好？
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 老师请问，laerebon的现金流更均匀且分散，那不就是有更多的reinvestment risk吗？
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 由于B答案的convexity小于C答案，所以less protection from twist 和shift。为什么C错呢
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 现金流越分散，spersion越高，convexity越大: barbell laerebulletconvexity越大，protection from yielcurve change越小:bullet laer barbell现金流越早到期，reinvestment risk越大: barbell laerebullet现金流越平均，越是sirable liquity management:laer barbell bullet现金流分散和平均也不是一个意思，前者是现金流的时间差大，后者是现金流时间差相似。
NO.PZ201812020100000304 问题如下 Based on Exhibit 2, relative to Portfolio Portfolio hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists. B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management 老师，在这个问题之前的回答说【C是书上的原话，laereportfolio provi more protection from yielcurve shifts antwists。意思是在收益率曲线非平行移动时，laereportfolio表现更好，C说反了。】在提到structurrisk时候，structurrisk是因为利率发生非平行移动导致免疫策略失败的风险，解决方案是降低convexity。那说明小conxiety的组合（如bullet）在非平行移动时候表现更好，laere组合convexity大于bullet，所以非平行移动表现最好的是bullet吧？