In simple terms, to immunize a portfolio, we have to match the duration of portfolio assets with the duration of future liabilities. To understand, let us look into the tradeoff betweenprice riskandreinvestment riskin the context of a fixed-income portfolio. There is an inverse relationship betwe...
The Immunization of Capital Projects and Other Cash Flow StreamsMccrae Michael
Money Duration: Money durations of all three possible immunizing portfolios match or closely match the money duration of the outflow portfolio. Matching money durations is useful because the market values and cash flow yields of the immunizing portfolio and the outflow portfolio are not necessarily ...
A.Duration matching B.Cash flow matching C.Contingent immunization 解释: Solution B is correct. Cash flow matching is least appropriate for both plans. In both the Lawson and Wharton plans, participants are entitled to receive a monthly benefit. Cash flow matching entails building a dedicated ...
Immunization is a well-known fixed-income strategy to lock in a target rate of return over a known investment horizon. This is accomplished by structuring the bonds so that the duration of the portfolio matches the time horizon and then rebalancing the portfolio to maintain the match as time ...
NorthWake has traditionally used a duration matching approach to investing, but is considering instituting a cash flow matching strategy. Markey has been asked to analyze the different types of immunization strategies. Markey knows from experience that NorthWake prefers to keep their investment ...
那么在收益率曲线发生第一次变动的时候，cash flow yield应该是不变的，因为Mac duration=investment ...