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标题: Reading 66: Introduction to the Measurement of Interest R [打印本页]

作者: yangh 时间: 2009-3-5 11:23 标题: [2009] Session 16 - Reading 66: Introduction to the Measurement of Interest R

LOS f, (Part 2): Explain the limitations of portfolio duration.

Q1. Which of the following is a limitation of the portfolio duration measure? Portfolio duration only considers:

A) the market values of the bonds.

B) a nonparallel shift in the yield curve.

C) a linear approximation of the actual price-yield function for the portfolio.

Q2. Which of the following is NOT a limitation of the portfolio duration measure?

A) It assumes that the yield for all maturities changes by the same amount.

B) It is subject to huge swings in value since book values may change over time.

C) It is subject to huge swings in value since market values may change over time.

Q3. Which of the following is the most significant limitation of the portfolio duration measure? The assumption of:

A) a parallel shift in the yield curve.

B) a nonparallel shift in the yield curve.

C) a linear approximation of the actual price-yield function.

[此贴子已经被作者于2009-3-5 11:29:52编辑过]

作者: yangh 时间: 2009-3-5 11:24 标题: [2009] Session 16 - Reading 66: Introduction to the Measurement of Interest R

LOS f, (Part 2): Explain the limitations of portfolio duration.fficeffice" />

Q1. Which of the following is a limitation of the portfolio duration measure? Portfolio duration only considers:

A) the market values of the bonds.

B) a nonparallel shift in the yield curve.

C) a linear approximation of the actual price-yield function for the portfolio.

Correct answer is C)

Duration is a linear approximation of a nonlinear function. The use of market values has no direct effect on the inherent limitation of the portfolio duration measure. Duration assumes a parallel shift in the yield curve, and this is an additional limitation.

Q2. Which of the following is NOT a limitation of the portfolio duration measure?

A) It assumes that the yield for all maturities changes by the same amount.

B) It is subject to huge swings in value since book values may change over time.

C) It is subject to huge swings in value since market values may change over time.

Correct answer is B)

Bond duration is calculated using market values; changes in book values are irrelevant.

Q3. Which of the following is the most significant limitation of the portfolio duration measure? The assumption of:

A) a parallel shift in the yield curve.

B) a nonparallel shift in the yield curve.

C) a linear approximation of the actual price-yield function.

Correct answer is A)

The most significant limitation of portfolio duration is the assumption that the yield for all maturities changes by the same amount (a parallel shift in the yield curve).

[此贴子已经被作者于2009-3-5 11:30:09编辑过]

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