开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

郎布斯吃苹果 · 2020年03月06日

问一道题:NO.PZ2018120301000042

问题如下:

Li is a junior fixed-income analyst in a wealth management firm. Her supervisor, Wang, is a fixed-income portfolio manager. Wang manages two different portfolios with different structures. One portfolio is in the bullet structure, and the other one is in barbell structure. By using the components of expected returns, Li wants to compare the performance of these two portfolios. Relevant information about these two portfolios are shown below:

According to the information above, the difference in the rolling yield between the bullet portfolio and the barbell portfolio is:

选项:

A.

-0.10%

B.

0.20%

C.

0.10%

解释:

B is correct.

考点:根据各Component计算Expected return

解析:注意题干只让比较两个Portfolio的Rolling yield之差,不是Expected return之差。所以表格内有多余的信息。Rolling yield = yield income + rolldown return

因为要求的是Bullet和Barbell之差,所以2.05%-1.85%=0.2%

计算yield income的分母不是current price吗,那么是用表格中的beginning price还是ending price呢?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年03月06日

同学你好,

因为题目的出发点一般都是现在哟,所以这和期初的价格是一样的。你也可以注意一下老师视频上的字母。

这类型的题目是考咱们求E(r),不会占在中间的时刻考诉你之前价格卖多少,让你求之前的Yield income. 求之前的Yield income那就不叫expected income了。