刘同学2019-05-04 08:11:20

For a given levels of Macaulay duration and cash flow yield（这里久期有要求相等我理解，但跟cash flow yield有啥关系呢？）, smaller convexity is preferable to minimize structural risk. Minimizing convexity is the same as minimizing dispersion when considering portfolios with similar Macaulay durations and cash flow yields. Reducing a portfolio’s dispersion reduces its structural risk – the risk that yield curve twists and non-parallel shifts create duration gaps between the immunization portfolio and the liability outflow.（这里的duration gap是什么？为什么非平行移动产生了duration gap？）麻烦老师解答一下哈