chapter 11 managing bond portfolios11章债券投.doc

Chapter 11 Managing Bond Portfolios ? Multiple Choice Questions? 1.?All other things equal, which of the following has the longest duration??A.?A 30 year bond with a 10% couponB.?A 20 year bond with a 9% couponC.?A 20 year bond with a 7% couponD.?A 10 year zero coupon bond ? 2.?All other things equal, which of the following has the shortest duration??A.?A 30 year bond with a 10% couponB.?A 20 year bond with a 9% couponC.?A 20 year bond with a 7% couponD.?A 10 year zero coupon bond ? 3.?A pension fund must pay out $1 million next year, $2 million the following year and then $3 million the year after that. If the discount rate is 8% what is the duration of this set of payments??A.?2.00 yearsB.?2.15 yearsC.?2.29 yearsD.?2.53 years ? 4.?All other things equal, which of the following has the longest duration??A.?A 20 year bond with a 10% coupon yielding 10%B.?A 20 year bond with a 10% coupon yielding 11%C.?A 20 year zero coupon bond yielding 10%D.?A 20 year zero coupon bond yielding 11% ? 5.?The duration of a perpetuity varies _______ with interest rates.?A.?directlyB.?inverselyC.?convexlyD.?randomly ? 6.?Because of convexity, when interest rates change the actual bond price will ____________ the bond price predicted by duration.?A.?always be higher thanB.?sometimes be higher thanC.?always be lower thanD.?sometimes be lower than ? 7.?You find a 5 year AA Xerox bond priced to yield 6%. You find a similar risk 5 year Canon bond priced to yield 6.5%. To take advantage of this you should do which of the following??A.?Short the Canon bond and buy the Xerox bondB.?Buy the Canon bond and short the Xerox bondC.?Short both the Canon bond and the Xerox bondD.?Buy both the Canon bond and the Xerox bond ? 8.?A forecast of bond returns based largely on a prediction of the yield curve at the end of the investment horizon is called a _________.?A.?contingent immunizationB.?dedication strategyC.?duration analysisD.?horizon analysis ? 9.?A bonds price