题干:
Smith expresses some concerns about immunization as a strategy:
Even if immunization minimizes risk, it assumes that the yield curve shifts in a
parallel fashion, which is not what I have observed in the market. In addition,
with immunization, the ability to earn some incremental return to offset additional
benefit requirements is not possible.
Smith's concerns regarding immunization as a strategy are best addressed by:
A. decreasing the dispersion of cash flows around the horizon date.
B. matching assets to liabilities by using functional duration and targeting a
cushion spread.
C. increasing the dispersion of cash flows around the horizon date and targeting a
cushion spread.
可以选出正确答案B,但对于A、C选项中的dispersion of cash flows around the horizon date不太理解,是increase好呢还是decrease好?或者,什么情境下应该increase或decrease?
谢谢老师!