139****67842024-01-19 19:19:58
139****6784这道题能选对，但是这句话依然不理解为什么 the Lawson portfolio would experience an increase in cash flow reinvestment risk and the Wharton portfolio would experience a decrease in convexity。
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Simon2024-01-25 16:45:03
Simon同学，上午好。因为Wharton原来的资产是Barbell，所以改造成ladder。从barbell变为ladder，convexity会减少。
Reinvestment risk的排序：Barbell > Laddered > Bullet
Convexity大小排序：Barbell > laddered > bullet
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梁雪2024-01-20 20:38:59
梁雪同学你好，
Lawson portfolio is bullet portfolio. wharton portfolio is barbell porfolio.
If the three portfolios have the same duration (and cash flow yield), then the barbell clearly has the highest convexity and the bullet the lowest. Compared with the barbell, the laddered portfolio has much less cash flow reinvestment risk.
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那为什么说“Wharton portfolio would experience a decrease in convexity。”为什么会increase和decrease呢？
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