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NO.PZ2018111501000007

问题如下：

If the correlation between foreign-currency asset returns and movements in the exchange rate is increasing, the expected domestic-currency returns will:

选项：

increase

decrease

unchange.

解释：

C is correct.

考点：Currency Risk & Portfolio Return and Risk

解析：correlation的增加会影响domestic-currency risk，而不会影响returns。写出公式就能理解了：

$R_{DC}=(1+R_{FC})(1+R_{FX})-1$ ，

$\sigma^2(R_{DC})\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC},R_{FX})$

• If the correlation >0, then Rec returns are amplified by Rey returns, and it will

in turn increases domestic investor's return volatility.

• If the correlation<0, then Rec returns are dampened by Rey returns, and it

will in turn decreases domestic investor's return volatility.

这个不证明会有正的影响吗

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Lucky_品职助教 · 2022年05月16日

嗨，爱思考的PZer你好：

同学你好~这道题主要想考察的是解析中给出的两个公式，来说明相关性上升会对risk产生影响，而不是return。

再具体来说，correlation上升代表两者会同涨，也可能会同跌，预期return不一定会上升，但是预期波动一定会放大。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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