Determine which of the following statements regarding asset-liability management techniques is true.
- Redington immunization requires that the convexity of the liabilities is greater than the
convexity of the assets.
- An advantage of the Redington immunization technique over the cash-flow matching
technique is that the portfolio manager has more investment choices available.
- Both Redington immunization and full immunization are based on the assumption that
the yield curve has higher yields for longer term investments.
- A fully immunized portfolio ensures that the present value of assets will exceed the
present value of liabilities with non-parallel shifts in the yield curve.
- A cash-flow matched portfolio requires less rebalancing than a Redington immunized
portfolio, but more rebalancing than a fully immunized portfolio.
Copyright 2023 . The Society of Actuaries, Schaumburg, Illinois. Reproduced with permission.
