张同学2019-02-10 17:27:02

老师您好，有一道原版书上的问题，一直搞不清楚，希望老师给予提示。 Book 4, SS10-11, Fixed income portfolio management, Reading 24 Yield Curve Strategies, Question #23, “Over the next 12 months, Abram expects a stable yield curve; however, Abram’s supervisor disagrees with Abram’s yield curve outlook. The supervisor develops two alternative portfolio scenarios based on her own yield curve outlook: Scenario 1: Sell all bonds in the Fund except the 2-year and 30-year bonds, and increase positions in these two bonds while keeping duration neutral to the benchmark.” 18. The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a: A. Fattening yield curve. B. reduction in yield curve curvature. C. 100 bps parallel shift downward of the yield curve. The correct answer is A. 我想知道为什么不选择C？谢谢老师。