[CFA Level 3] 三级 immunization 求教

gotbelief

关于"classical immunization" If portfolio duration is less than liability duration, the portfolio is exposed to reinvestment risk. If interest rates are decreasing, the losses from reinvestment income would be greater than the gain in the value of the bonds. 请问为什么？百思不得其解...

haizi2012

久期小于负债久期，相当于提前收到现金流，这时再投资风险占据主导，就表现为你说的这个结论，“滕溯学堂”相关学习模块有关于这方面问题的全面详细分析......

shxjm

可以这样理解，在classical immunization中，如果portfolio的duration = liability 的duration,则
reinvestment risk 和 price risk 互相抵消(offset)
如果portfolio的duration < liability 的duration，因为duration减少了，portfolio的价格对于利率变化d的敏感程度降低。在利率下降的情况下，它的价格增长的就慢一点；而此时因为reinvestment的风险就相对大了，此时，reinvestment risk > price risk，即“the losses from reinvestment income would be greater than the gain in the value of the bonds”。