大同學(xué)
2025-01-26 14:21關(guān)于instantaneous upward parallel shift of 100 basis points的場景
老師好,2024mock(B卷)有個(gè)選擇題,在instantaneous upward parallel shift of 100 basis points的場景下,which of the following portfolio construction strategies is most appropriate?有三個(gè)選項(xiàng):A. Selling convexity B. Choosing a bullet portfolio C. Choosing a barbell portfolio, with the bonds with durations of 1 year and 8
所屬:CFA Level III > Portfolio Management Pathway 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2025-02-02 16:07
該回答已被題主采納
同學(xué),上午好。
收益率曲線上漲,債券價(jià)格會(huì)下跌,此時(shí)選convexity大的,因?yàn)閏onvexity有漲多跌少的好處,所以選barbell
Convexity大小排序:Barbell > laddered > bullet
