139****6784
2024-01-19 19:19這道題能選對，但是這句話依然不理解為什么 the Lawson portfolio would experience an increase in cash flow reinvestment risk and the Wharton portfolio would experience a decrease in convexity。
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
2個回答
Simon助教
2024-01-25 16:45
該回答已被題主采納
同學，上午好。因為Wharton原來的資產(chǎn)是Barbell，所以改造成ladder。從barbell變?yōu)閘adder，convexity會減少。
Reinvestment risk的排序：Barbell > Laddered > Bullet
Convexity大小排序：Barbell > laddered > bullet
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梁雪助教
2024-01-20 20:38該回答已被題主采納
同學你好，
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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追問
那為什么說“Wharton portfolio would experience a decrease in convexity?！睘槭裁磿ncrease和decrease呢？
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