问题如下：
Doug Kepler, the newly hired chief financial officer for the City of Radford, asks the deputy financial manager, Hui Ng, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.
Ng observes that the current fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates
Kepler asks Ng for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Ng considers two different strategies:
Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity
Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
Which duration measure should be matched when implementing Strategy 2?
选项：
A.Key rate
Modified
Macaulay
解释：
C is correct.
An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.
老师您好，麻烦问下。Immunization of the single liabilities是什么意思，如果是单个的负债，为什么是liabilities。
如果是多个负债的匹配，是不是要考虑key rate duration？做这道题的时候总感觉多个负债只用Mac.d 有问题，所以选了KRD
