发亮_品职助教 · 2019年06月11日
Reinvestment risk的排序:
Barbell > Laddered > Bullet
Convexity大小排序:
Barbell > laddered > bullet
Lawson原来的资产是Bullet;Wharton原来的资产是Barbell
although the Lawson portfolio would experience an increase in cash flow reinvestment risk
正确,把Lawson的Bullet组合换成Laddered组合,Reinvestment risk提升。
And the Wharton portfolio would experience a decrease in convexity
正确把Wharton原来的Barbell组合换成Laddered账户,Convexity数据降低。
答案的解释也没有问题:
The Wharton portfolio is more of a barbell, has higher convexity than the Lawson portfolio,
他是说,原来Wharton的账户是Barbell,相比Lawson有更高的Convexity。这点正确,符合三者的排序;
and would see a larger reduction in cash flow reinvestment risk with the reduction of convexity.
如果同时把Wharton的Barbell资产,与Lawson的Bullet资产,都调换成Laddered资产,那么Wharton账户的Convexity与Reinvestment risk降低程度更多,这点正确。
因为对于Lawson的账户,是从Bullet调到Laddered,convexity数据与Reinvestment risk是增加的。