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Sorry for the late response. i sold my car 14 days ago and left the CFAI Fixed income book in it. It took me some time to get it back...
This was in CFA EOC questions: Volume 4 Page 60 Question 14:
If the distribution of the durations of the assets is wider than that of the liabilities, the durations of the assets after a parallel yield curve @#$%& (wether up or down) will envelope the durations of the liabilities after the shift. The immunization may be maintained, although rebalancing may be necessary. |
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发表于 2011-7-11 19:03
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