AndrewWheeler87
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- Jun 18, 2026
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Alright I’ve been stuck on this for a day now and I feel like I’m spinning my wheels here. R21 around page 70 or so, I’m just not following example #6 - is this immunized or not? The PV of the portfolio matches the PV of the liability, the time horizon of the portfolio matches the liability, the portfolio consists of bonds having the same YTM as the target rate, and from what I can tell they are assuming a flat term structure - all of these things, I thought, point to this portfolio being immunized over the horizon. However, they clearly show that if a parallel occurs he may still wind up short of the target. Okay fine but then later on in the chapter the book essentially says that the target return is a minium return that can be achieved. I don’t understand how this is a minium value concept.