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Muddahudda

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tT
发表于 2011-7-13 15:20 | 只看该作者

2011 CFAI Mock Question 32

one, 2011
Why is the portfolio rebalanced to match the dollar duration from one year ago and not to 4.4 x 150m x 0.01 which would immunize the liablity?

Thanks for clarifying.

 

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PalacioHill

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发表于 2011-7-13 15:20 | 只看该作者
immunization has nothing to do with the question.

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justin88

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发表于 2011-7-13 15:20 | 只看该作者
How do you know that you have to rebalance it to match the dollar duration from a year ago? I'm still not getting that part.

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