为啥不能选B？

问题如下：

Doug Kepler, the newly hired chief financial officer for the City of Radford, asks the deputy financial manager, Hui Ng, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.

Ng observes that the current fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates

Kepler asks Ng for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Ng considers two different strategies:

Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity

Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.

The effects of a non-parallel shift in the yield curve on Strategy 2 can be reduced by:

选项：

minimizing the convexity of the bond portfolio.

maximizing the cash flow yield of the bond portfolio.

minimizing the difference between liability duration and bond-portfolio duration.

解释：

A is correct.

Minimizing the convexity of the bond portfolio minimizes the dispersion of the bond portfolio. A non-parallel shift in the yield curve may result in changes in the bond portfolio’s cash flow yield. In summary, the characteristics of a bond portfolio structured to immunize a single liability are that it (1) has an initial market value that equals or exceeds the present value of the liability, (2) has a portfolio Macaulay duration that matches the liability’s due date, and (3) minimizes the portfolio convexity statistic.