[問題] CFA3級的問題....
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者lis2318 (人的相識都有起點和終點)時間16年前 (2009/04/24 16:27)推噓1(1推 0噓 1→)留言2則, 2人參與討論串1/1
在教材第4本有關fixed-incom portfolio之中,在immunization策略下有提到
,immunization target rate of return is less than yield to maturity if the
yield cure is upward-sloping; immunization target rate of return is larger
than yield to maturity if the yield curve is downward-sloping because the
higher reinvestment return.
想請問,為什麼在downward-sloping的yield curve下,reinvestment rate is higher; 而
upward-sloping yield curve, reinvestment return is lower?
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