问题如下图：
选项：
A. 
B. 
C. 
解释：
is portfolio 4 better than 2 if 4 is a choice?
NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 老师，这题我想明确下，single liability immunizatio需要满足3个条件①MV（asset)≥MV(liability)②Macaulration(asset)=liability ration③min. asset convexity其中，第②点Macaulration(asset)=liability ration的意思是说 asset macaulration和liability ration接近？还是说 asset的macaulration一定要大于liability ration?
NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. average time to maturity 就是组合里资产的Mac.r加权平均得到的对吗？然后 Mac.r 就是将组合里的各项资产视为整体用cash flow yiel个方法得到的每笔现金流现值求得的权重吗？假设组合3的Macr和组合2一样，那是不是选3，因为convexity相对小？
NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 这道题说C负债的PV是500million，并没有已知portfolio 1-4的PV信息，所以，免疫的第一个条件用不上。第二个条件是minvestment horizion，C的investment horizon为9年，所以，要选择portfolio m9年最近的，B是最接近9的。对于第一个条件，PV of asset≥PV of liability。为了节省成本，可以让PV of asset=PV of liability，但为了保证成功，最好让PV of asset＞PV of liability。这个部分我理解了 1.single liability 不是需要min convexity 吗？那样应该选C啊？2.是需要先满足asset大于ration of liability的条件吗？才考虑convexity
NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. 题目里问的不是SR的负债吗？怎么解析里又变成C的了？C ha single $500 million liability e in nine years
NO.PZ201812020100000406 问题如下 Baseon Exhibit 1, whiof the portfolios will best immunizeSR’s single liability? Portfolio 1 Portfolio 2 Portfolio 3 Bis correct. In the case of a single liability, immunization is achievebymatching the bonportfolio’s Macaulration with the horizon te. C hasa single liability of $500 million e in nine years. Portfolio 2 haMacaulration of 8.9, whiis closer to 9 ththof either Portfolio 1or 3. Therefore, Portfolio 2 will best immunize the portfolio against theliability. RT
