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大河菌 · 2022年04月10日

为什么选择portfolio 3不对？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000027

问题如下：

Leah informs Molly 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.

which of the portfolios in Exhibit 1 best minimizes the structural risk to a single-liability immunization strategy

选项：

A.

Portfolio 1

B.

Portfolio 3

C.

Portfolio 4

解释：

Correct Answer: C

C is correct. Structural risk to immunization arises from twists and non-parallel shifts in the yield curve. Structural risk is reduced by minimizing the dispersion of cash flows in the portfolio, which can be accomplished by minimizing the convexity for a given cash flow duration level. Because Portfolio 4 has the lowest convexity compared with the other two portfolios and also has a Macaulay duration close to the liability maturity of nine years, it minimizes structural risk

题目中提到公司的liability due in nine years，portfolio 3正好是9年，为什么不对呢？感觉选择convexity最小的成了唯一标准。

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1 个答案

pzqa015 · 2022年04月10日

嗨，爱思考的PZer你好：


题目让选strucutrual risk最小的portfolio，要从所有符合免疫三个条件的portfolio中，选择convexity最小的，4是最合适的。


portfolio 3是不能免疫成功的，免疫条件是mac d和Investment Horizon，mac D是资产端债券的mac D,portfolio 3对应的是8，investment horizon是负债的期限，题目说了是9年，所以，portfolio 3是不符合mac D=investment horizon这个条件的，就更谈不上minimize structural risk了。

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大河菌 · 2022年04月16日

好的好的，谢谢老师，一直没有发现是自己没有看清题目。

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