岳同学2020-02-03 11:40:22

請問原版書中課後題 Q25: Determine the most appropriate immunization portfolio in Exhibit 2. Justify your decision. 答案是 Portfolio 2 1. Money Duration: Money durations of all three possible immunizing portfolios match or closely match the money duration of the outflow portfolio. 2. Convexity: Given that the money duration requirement is met by all three possible immunizing portfolios, the portfolio with the lowest convexity that is above the outflow portfolio’s convexity of 135.142 should be selected. 但是書上說 The conditions to immunize multiple liabilities are that (1) the market value of assets is greater than or equal to the market value of the liabilities, (2) the asset basis point value (BPV) equals the liability BPV, and (3) the dispersion of cash flows and the convexity of assets are greater than those of the liabilities. Portfolio 2 的 BPV是小於 Liability的。另外，上課的時候有說要選convexity大的。滿足這兩項的應該是Portfolio 1. 請問為什麼答案是Portfolio2?