《北大光华证券投资学第8章(10年春)》.pptVIP

* Terminal value of a bond portfolio after 5 years (all proceeds reinvested) C. rates increase to 9% * For a horizon equal to the portfolio’s duration, price risk and reinvestment risk exactly cancel out. * Accumulated value of invested funds funds 0 t* D t * Figure Immunization * 在8%，资产和债务的现值相等；当利率变化幅度不大时，资产和债务的值的变化量相等；当利率变化幅度很大时，资产和债务值的变化量不再相等。 * Rebalancing immunized portfolio 当资产的收益变化时，其久期也发生了变化，这时，资产和债务的久期不再相匹配。 即使利率不变，当时间变化时，久期也会发生变化 * Rebalancing immunized portfolio Even if an obligation is immunized at the outset, as time passes the durations of