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提问人：网友cl18507496603 发布时间：2022-01-07

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A bond portfolio manager is considering three Bonds – A, B, and C – for his portfolio. B

ond A allows the issuer to call the bond before stated maturity, Bond B allows the investor to put the bond back to the issuer before stated maturity, and Bond C contains no embedded options. The bonds are otherwise identical. The manager tells his assistant, “Bond A and Bond B should have larger nominal yield spreads to a U.S. Treasury than Bond C to compensate for their embedded options.” Is the manager most likely correct？

A. Yes.

B. No, Bond A’s nominal yield spread should be less than Bond C’s.

C. No, Bond B’s nominal yield spread should be less than Bond C’s.

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更多“A bond portfolio manager is considering three Bonds – A, B, and C – for his portfolio. B”相关的问题

第1题

Duration is most accurate as a measure of interest rate risk for a bond portfolio when

the slope of the yield curve:

A.increases.

B.decreases.

C.stays the same.

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第2题

Which of the following is an advantage of the full value approach to measuring the inte

rest rate risk of a bond portfolio relative to the duration/convexity approach？

A. less time consuming.

B. easier to model.

C. more accurate.

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第3题

A portfolio manager is considering the purchase of a bond with a 5.5% coupon rate that pay

s interest annually and matures in three years. If the required rate of return on the bond is 5%, the price of the bond per 100 of par value is closest to

A、98.65

B、101.36

C、106.43

D、空

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第4题

A limitation of calculating a bond portfolio’s duration as the weighted average of the yield durations of the individual bonds that compose the portfolio is that it:

A、assumes a parallel shift to the yield curve.

B、is less accurate when the yield curve is less steeply sloped.

C、is not applicable to portfolios that have bonds with embedded options.

D、空

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第5题

Consider an economy in which the expected return on the market portfolio over a particular

period is 0.25, the standard deviation of the return to the market portfolio over this same period is 0.25, and the average degree of risk aversion among traders is 3. If the government wishes to issue risk-free zero-coupon bonds with a term to maturity of one period and a face value per bond of $100,000, how much can the government expect to receive per bond？

A、$94,117.65

B、$95,117.65

C、$93,117.65

D、$91,117.65

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第6题

Which of the following is a shortcoming of the full value approach to measuring the int

erest rate risk of a bond portfolio, compared to the duration/convexity approach？

A. It ignores the impact of embedded options.

B. It is relatively time consuming.

C. It cannot be used for stress testing.

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第7题

Relative to the duration／convexity approach, a shortcoming of the full value approach to measuring the interest rate risk of a bond portfolio is that it:()。

Relative to the duration／convexity approach, a shortcoming of the full value approach to measuring the interest rate risk of a bond portfolio is that it:（)。

A.is relatively time consuming.

B.cannot be used for stress testing.

C.ignores the impact of embedded options.

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第8题

A portfolio manager uses her valuation model to estimate the value of a bond as 125.4

82.Using the same model, she estimates that the value would increase to 127.723 if interest rates fell 30 bps and would decrease to 122.164 if interest rates rose 30 bps.Using these estimates, the effective duration of the bond is closest to:()。

：A.2.22

B.7.38

C.14.77

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第9题

You are currently holding a portfolio of bonds. Interest rates are expected to increase ov

er the next few months. In order to protect your investment, your bond portfolio should contain bonds with the following characteristics:______.

A．low convexity and low coupons

B．low convexity and high duration

C．high convexity and high coupons

D．high duration and high convexity

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第10题

A portfolio manager based in the United Kingdom is...

A portfolio manager based in the United Kingdom is planning to invest in U.S. bonds with a maturity of one year. Assume that the ratio of the price levels of a typical consumption basket in the United Kingdom versus the United States is 1.2 to 1. The current exchange rate is £0.69 per dollar. The one-year interest rate is 1.76 percent in the United States and 4.13 percent in the United Kingdom. Assume that inflation rates are fully predictable, and expected inflation over the next year is 1.5 percent in the United States and 3.75 percent in the United Kingdom. a. Assuming that real exchange rates remain constant, calculate the real exchange rate, the expected exchange rate in one year, and the expected return over one year on the U.S. bonds in pounds. b. Now assume that the inflation rate over the one-year period has been 1.5 percent in the United States and 3.75 percent in the United Kingdom. Further, assume that the exchange rate at the end of one year is £0.67 per dollar. Calculate the real exchange rate at the end of one year. What is the return on the U.S. bond investment now？ Is the return on the U.S. bond the same as in part (a)？ Explain.

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