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I Yuan · 2022年04月04日

PVA=8.9小于9，所以我一开始就排除了这个选项。

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

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.

这个结论和何老师上课讲的理论是相违背的。讲义上面是说PVA必须大于等于PVliab，但是这里的答案说最接近就可以。由于之前这题我就错过一次，所以我刷另外一道题的时候就又错了。因为另外那道题的答案是因为PVA小于PV liab那么一丁点，马上就排除掉。


麻烦助教确认一下究竟结论是足够接近就可以还是PVA必须大于等于PV liability。谢谢。

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I Yuan · 2022年04月04日

补充一下：刚刚刷了后面的题目，答案写得很清楚“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...

I Yuan · 2022年04月04日

and (3) minimizes the portfolio convexity statistic.” 所以这个B一开始就应该被排除的，怎么会是答案？

1 个答案

pzqa015 · 2022年04月05日

嗨，爱思考的PZer你好：


这道题说DFC负债的PV是500million，并没有已知portfolio 1-4的PV信息，所以，免疫的第一个条件用不上。

第二个条件是mac D=investment horizion，DFC的investment horizon为9年，所以，要选择portfolio mac D与9年最近的，B选项是最接近9的。

对于第一个条件，PV of asset≥PV of liability。为了节省成本，可以让PV of asset=PV of liability，但为了保证成功，最好让PV of asset＞PV of liability。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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