Homework Chapter 19 - Chapter 19 Portfolio Immunization and...

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Chapter 19 – Portfolio Immunization and Cash Flow Matching 1) Two components of interest rate risk are: a. Duration and convexity b. Reinvestment risk and price risk c. Duration sensitivity and price risk d. Reinvestment risk and immunization risk 2) To immunize a portfolio consisting of a single coupon bond against a future liability, an investor should select a bond that: a. Has duration that equals the liability horizon b. Has a duration that exceeds the liability horizon c. Has a maturity date that extends beyond the liability horizon d. Matures on the same date the liability is due 3) An extension of immunization that uses cash matching during the early years of a liability schedule and duration matching in the later years is referred to as: a. Combination matching b. Dual horizon matching c. Immunization matching d. Cash matched immunization 4) An investor wishes to immunize a single liability payment that will occur 6 years from today. Which of the following portfolios most likely has the least
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Homework Chapter 19 - Chapter 19 Portfolio Immunization and...

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