NO.PZ2019103001000026
问题如下：
Mowery informs Compton that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.
Compton provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Compton explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.
Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?
选项：
A. Portfolio 1
B. Portfolio 2
C. Portfolio 3
解释：
B is correct.
In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.
因为4在Macauley duration和2一样接近，且4convexity更小，是不是match效果更好？
