[三級固定收益] General Bonds Corp. (GBC) has a pension liability of $100M. The duration of this liability is 15 years.On the asset side of its balance-sheet GBC has a 100% bond portfolio that consists of two bonds: a Treasury bond with duration 2 and a second Treasury bond with duration 20.If GBC’s pension board wants to insulate (immunize) the pension fund from day-to-day fluctuations of the interest rate how much should it invest in the 2-year Treasury and the 20-year Treasury respectively?

usern6kiob 發(fā)布于：2024-04-27 21:19:13 瀏覽64次   CFA CFA三級
請問一下這個(gè)怎么寫
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Zhouling 發(fā)布于2024-05-14 00:13:27

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