NO.PZ2018120301000047
问题如下：
Wang, a fixed-income portfolio manager, manages a fixed-income portfolio in a wealth management firm. The portfolio is in a laddered structure with maturities ranging from 1-year to 30-year and the duration of the portfolio equals to that of the benchmark at the moment. The duration of the portfolio is allowed to fluctuate ±0.5 from its benchmark duration. Wang plans to sell the bonds at all maturities except the 2-year and 30-year and use the proceeds to invest in 2-year and 30-year bonds. By using the appropriate weights, Wang leaves the portfolio duration unchanged before and after this strategy. According to Wang’s strategy, he is most likely to expect the yield curve will:
选项：
A. The yield curve will stay stable
B. The yield curve will become more flattening
C. The yield curve will become more steepening
解释：
B is correct.
解析：Wang只是在整个portfolio的Structure做了调整，并没有调整整个Portfolio的Duration大小。本题应该先排除A选项，因为在收益率曲线Stable时，本题的策略无法受益。因为Wang卖出了其他所有期限的债券，只留下了2年期、30年期的债券，因为Wang认为留住这两个期限可以受益。30年期利率下降可受益，这种情况对应的是Yield curve flattening，因此B正确。
Yield curve be more curvature 是不是比more flattening更好？
