NO.PZ202112010200001902
问题如下：
Which active bond portfolio maximizes expected excess return under a stable credit market assumption versus an equally weighted benchmark portfolio across the three rating categories?
选项：
A.50% A rated bonds, 50% BBB rated bonds
50% BBB rated bonds, 50% BB rated bonds
50% A rated bonds, 50% B rated bonds
解释：
A is correct. E[ExcessSpread] from Question 15 is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.
The excess spread of the 50% A rated and 50% BBB rated portfolio is 0.95% (=(0.9% + 1.00%/2) versus the equally weighted portfolio expected excess return of 0.7167% (=(0.90% + 1.00% + 0.25%)/3) for a positive active return of 0.233%, while B and C return less than the equally weighted benchmark.
对 题目里stable credit market 的理解是，在基础课credit spread curve stategies 里第一种static情形，POD也=0，所以EXR=OAS，请老师对我这样理解解惑，谢谢。
