志同學(xué)
2021-11-15 16:40什么是zero replication?
所屬：CFA Level III > Fixed-Income 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
Chris Lan助教
2021-11-16 14:53
該回答已被題主采納
同學(xué)你好
這個(gè)意思就是在single liability的情況下，找一個(gè)正好的zero coupon bond來做immunization。原文如下
Immunization can be interpreted as “zero replication” in that the performance of the bond portfolio over the investment horizon replicates the zero-coupon bond that provides for perfect immunization. This zero-coupon bond has a maturity that matches the date of the single liability—there is no coupon reinvestment risk nor price risk as the bond is held to maturity (assuming no default).
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追問
非常感謝，之前沒看過這個(gè)概念
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追答
同學(xué)你好
不客氣的。
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