发亮_品职助教 · 2021年04月16日
嗨，努力学习的PZer你好：
是的。Mutiple liability匹配负债要asset conveixty > liability convexity。
但是题目问的是Fails to meet，Portfolio A的Convexity就小于负债的Convexity，所以这道题选Portfolio A：
Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?
----------------------------------------------努力的时光都是限量版，加油！
