張同學(xué)
2019-02-10 17:27老師您好，有一道原版書上的問題，一直搞不清楚，希望老師給予提示。 Book 4, SS10-11, Fixed income portfolio management, Reading 24 Yield Curve Strategies, Question #23, “Over the next 12 months, Abram expects a stable yield curve; however, Abram’s supervisor disagrees with Abram’s yield curve outlook. The supervisor develops two alternative portfolio scenarios based on her own yield curve outlook: Scenario 1: Sell all bonds in the Fund except the 2-year and 30-year bonds, and increase positions in these two bonds while keeping duration neutral to the benchmark.” 18. The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a: A. Fattening yield curve. B. reduction in yield curve curvature. C. 100 bps parallel shift downward of the yield curve. The correct answer is A. 我想知道為什么不選擇C？謝謝老師。
所屬：CFA Level III > Private Wealth 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
Sherry Xie助教
2019-02-11 11:14
該回答已被題主采納
同學(xué)你好，如果選C的話，其實(shí)意味著整個portfolio都會盈利，沒有必要賣掉其他Bond。
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追問
理解了，原來是選擇最優(yōu)的策略，謝謝您
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追答
C選項就是錯的，不是正確的，不存在選擇最優(yōu)選項。但有的題目會是擇優(yōu)選擇，要看具體。
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追問
那對于C選項，buy and hold 就是最好的做法了，是吧？
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追答
是的，不動它。
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追問
好的，明白了，謝謝您
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追答
不客氣，加油！
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