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[一级金融市场与产品] 老师，这道题不太懂，能讲一下吗
userld475h
发布于：2019-10-13 16:07:00
浏览389次 
FRM FRM Part I
FRM FRM Part I
55 A bond portfolio consists of bonds with various maturities. The portfolio manager expects the
yield curve to become steeper. In that case which of the following statements is correct?
（ ）
A. A strip hedge will be a more effective hedge than a stack hedge.
B. A stack hedge will be a more effective hedge than a strip hedge.
C. A cross-hedge will be more effective than an immunization hedge.
D. An immunization hedge will be more effective than a cross-hedge.
Answer: A
A stack hedge is less effective than a strip hedge if the yield curve undergoes any other move than
a parallel shift.
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金老师
发布于2019-10-14 15:29:01
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