TTER
2024-01-20 16:21第一題，有兩個點想確認下：1）做immunization只能針對單一liability做嗎，還是也可以對多個liability一起做？2）immunization方法在期間需要不斷的做balance以保持duration asset和duration liability相等么？那cash flow matching要做balance嗎？以及total return mandate的幾種方法需要做rebalance嗎？謝謝
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個回答
梁雪助教
2024-01-20 21:49
該回答已被題主采納
同學(xué)你好，
1、immunization包括了single liability以及multiple liability，條件是不太一樣的。
2、隨著時間變化，利率改變，使得asset duration和liability duration不一致，因此需要rebalance。the portfolio must be regularly rebalanced over the horizon to maintain the target duration, because the portfolio Macaulay duration changes as time passes and as yields change.
3、Cash flow matching 是持有到期策略，因此eliminate the interest rate risk，基于此不需要rebalance。
4、原版書中提到By matching portfolio performance as closely as possible, investment managers also seek to minimize tracking error, limit the need to purchase or sell thinly traded securities, and/or frequently rebalance the portfolio as would be required when precisely matching the index.因此，在total return mandate也需要 Rebalance。
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