劉同學(xué)
2019-05-04 08:11For a given levels of Macaulay duration and cash flow yield（這里久期有要求相等我理解，但跟cash flow yield有啥關(guān)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.（這里的duration gap是什么？為什么非平行移動(dòng)產(chǎn)生了duration gap？）麻煩老師解答一下哈
所屬：CFA Level III > Alternative Investments for Portfolio Management 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
Sherry Xie助教
2019-05-05 14:10
該回答已被題主采納
同學(xué)你好，
duration gap指的是麥考林久期不等于投資期限，也就是說price risk和reinvestment risk不能互相抵消。主要是因?yàn)槔实姆瞧叫幸苿?dòng)導(dǎo)致了price risk產(chǎn)生，immunization失敗。
cash flow yield是投資組合的內(nèi)部回報(bào)率，意思說給定了一個(gè)債券組合的麥考林久期和內(nèi)部回報(bào)率。
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