问题如下图:在相同duration的情况下,barbell现金流更分散,duration应该更高,现在barbell和bullet的duration相同,那么barbell的期限应该更短?convexity感觉更小呢
选项:
A.
B.
C.
D.
解释:
NO.PZ2016082402000017问题如下 Whiof the following statements is correregarng the effects of interest rate shift on fixeincome portfolios with similrations? A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases with the square of maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases with the square of maturity. ANSWER: The statement compares two portfolios with the same ration. A barbell portfolio consists of a combination of short-term anlong-term bon. A bullet portfolio honly meum-term bon. Because convexity is a quaatic function of time to wait for the payments, the long-term bon create a large contribution to the convexity of the barbell portfolio, whimust higher ththof the bullet portfolio.解析关于利率变动对久期相似的固定收益投资组合的影响,以下哪项陈述是正确的?现金流越分散,convexity越大,并且convexity随着期限的平方增加。barbell现金流比bullet更分散。 这是基础课程哪一块知识,求。。
Whiof the following statements is correregarng the effects of interest rate shift on fixeincome portfolios with similrations? A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hgreater convexity tha bullet portfolio because convexity increases with the square of maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases linearly with maturity. A barbell portfolio hlower convexity tha bullet portfolio because convexity increases with the square of maturity. ANSWER: B The statement compares two portfolios with the same ration. A barbell portfolio consists of a combination of short-term anlong-term bon. A bullet portfolio honly meum-term bon. Because convexity is a quaatic function of time to wait for the payments, the long-term bon create a large contribution to the convexity of the barbell portfolio, whimust higher ththof the bullet portfolio. 久期相同的前提下,不是应该现金流更分散的barbell的maturity更长吗?那么convexity和maturity的平方关系不是应该更大吗?为什么不选
B的原因应该不是square of maturity吧,convexity 增加的幅度大于ration的原因是因为square of maturity?