Time horizon risk and tracking portfolio
CFA text: time horizon risk is spread betwwn 30 year T-bond and 3 month T-bill , say 200 BP, so does it mean the longer the investment period, the higher the time horizon risk?
so for example, I’m risk adverse, I need YTM for 10 year T-bond to be 200 BP, but for short term bond, I can ask for 20 bp, so the difference between 200 bp and 20 bp is tome horizon risk?
is beta sensitivity in tracking portfolio all equals to 1, say E(R)=b1X1+B2X2+B3X3, b1,b2, b3 are beta, does all bata=1 in tracking portfolio? |
发表于 2013-4-1 12:59
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