To immunize a portfolio consisting of a single coupon bond against a future liability, an investor should select a bond that:

Question

BlackTom AI · Accepted Answer

The question asks how to immunize a portfolio consisting of a single coupon bond against a future liability. The core concept is immunization via duration matching: the sensitivity of the asset’s value to interest-rate changes (duration) should align with the timing of the liability (liability horizon).
Option B: 'has a duration that exceeds the liability horizon.' If the asset’s duration is longer than the liability horizon, the portfolio is overly sensitive to interest-rate changes for the liability’s timing, which can cause value movements to misalign with the liability and impair immunization. This increases risk rather than reducing it.
Option A: 'has a duration that equals the liability horizon.' This aligns duration with the liability horizon, which is the classic immunization technique. When duration matches, the effects of parallel shifts in the yield curve tend to offset between the asset and liability, helping to lock in the funding status at future points in time.
Option D: 'has a maturity date that extends beyond the liability horizon.' A longer maturity alone does not guarantee immunization. Maturity is not the same as duration, and a bond with a longer maturity could have a shorter or more variable duration depending on coupon, yield, and price. Therefore, matching maturity does not ensure immunization against interest-rate movements at the liability horizon.
Option C: 'has return matching an index.' Matching index return is an equity-type or benchmark-tracking objective, not specifically about immunizing against a future liability’s timing. Index matching does not address the duration-based sensitivity needed for immunization and can leave the portfolio exposed to rate movements that affect the liability.
In summary, immunization against a future liability is achieved by aligning the asset’s duration with the liability horizon, making Option A the correct choice. The other options either misstate the mechanism (duration vs. maturity), rely on an incomplete criterion (index-style return matching), or propose an excessive duration that introduces mismatch risks.

To immunize a portfolio consisting of a single coupon bond against a future liability, an investor should select a bond that:单项选择题

类似问题

The duration rule always ________ the value of a bond following a change in its yield

The duration rule always ________ the value of a bond following a change in its yield

Duration measures:

Which of these is a reasonable approximation of bond sensitivity using duration?

If the Duration is 20 and the present value of the bond $4000, then if the rates go up 10%, then you will approximately

Consider a bond with maturity 3 years, par value $1000, and annual coupon rate 8%. If its yield to maturity is 5%, its duration, expressed in years, is equal to

Which of the following statements regarding the application of duration is most accurate?

更多留学生实用工具

智能学习助手

风格化写作助手

论文查重助手

文献引用助手

课堂转译助手

课堂笔记助手

Quiz搜索助手

学校历年真题

智能刷题助手

智能匹配练习

希望你的学习变得更简单