作者wang78414 (wang)
看板CFAiafeFSA
标题Re: [问题] 请问一题L3的债券问题
时间Mon Apr 21 10:22:19 2008
原文答案"This statement only ture if the yield curve is upward sloping.
If the yield curve is downward-sloping, then this statement is not ture
as the immunization target rate of return would exceed the YTM because
of the higer reinvestment return."
※ 引述《wang78414 (wang)》之铭言：
: 在BOOK 3的P.342
: 他里面有个问题提到
: "The immunization target rate of return is less than YTM?"
: 他提的答案是"只有在殖利率曲是正斜率才成立,若为负斜率则不成立,因为较高的再投资利率,故导致immunization target rate of return 将会大於YTM."
: 有人知道为什麽吗?我书查了很久都没看到相干的说法,请懂的人指点一下,谢谢
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