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虎哥 · 2022年05月09日

Static Hedging vs Dynamic Hedging 框架图里好像没有？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000109

问题如下：

Recommend an alternative hedging strategy that will keep the hedge ratio close to the target hedge ratio. Identify the main disadvantage of implementing such a strategy.

选项：

解释：

The fund manager should implement a dynamic hedging approach. Dynamic hedging requires rebalancing the portfolio periodically. The rebalancing would require adjusting some combination of the size, number, and maturities of the foreign-currency contracts.

Although rebalancing a dynamic hedge will keep the actual hedge ratio close to the target hedge ratio, it has the disadvantage of increased transaction costs compared to a static hedge.

中文解析：

基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。

虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率，但与静态套期保值相比，它有增加交易成本的缺点。

Static Hedging vs Dynamic Hedging 框架图里好像没有？知识图谱里好像也没有这个考点

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Hertz_品职助教 · 2022年05月10日

嗨，从没放弃的小努力你好：


同学你好

1.     关于静态对冲和动态对冲在基础班讲义72页有讲到哈

2.     因为静态对冲相比于动态对冲在考试中几乎不会碰到，也就是说静态对冲不太重要，所以在框架图中只讲解了动态对冲，对应框架图23页：

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加油吧，让我们一起遇见更好的自己！

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