问题如下:
Finally, Hirji uses the components of expected returns to compare the performance of a bullet portfolio and a barbell portfolio for a British institutional client. Characteristics of these portfolios are shown in Exhibit 3.
Based on Exhibit 3, the difference in the rolling yield between Hirji’s bullet portfolio and barbell portfolio is:
选项:
A.
–8 basis points.
B.
–6 basis points
C.
2 basis points.
解释:
B is correct.
The rolling yield of the two portfolios is calculated as follows:
我就是问一下哈 这道题要是后面要求 E(Δy)的话 我应该用modified duration吧?【effective那个就是给着玩儿的?只是在含权bond用对吧…