Wendy_品职助教 · 2019年05月10日
同学你好。题目说预期未来利率上涨,那么为了降低风险,应该降低资产组合的duration。根据表格1,P2的duration大,因此应该讲P2在投资中的占比降到最低。题干中的这句话非常关键:the portfoliomanager, has discretion to allocate between 40% and 60% of the assets to each maturity“bucket.”He must remain fully invested at all times.
P2最少投资为:(50.3+58.7)* 40% =43.6
因此sell P2: 58.7-43.6=15.1