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moon · 2022年08月01日

老师怎么从这句话，看出来这道题是在问“前面Guptas说的是哪种成本”？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000104

问题如下：

4. Gupta tells the fund manager of Portfolio B:

"We need to seriously consider the potential costs associated with favorable currency rate movements, given that a 100% hedge-ratio strategy is being applied to this portfolio."

Explain Guptas statement in light of the strategic choices in currency management available to the portfolio manager.

选项：

解释：

Optimal hedging decisions require balancing the benefits of hedging against the costs of hedging. Hedging costs come mainly in two forms: trading costs and opportunity costs. Gupta is referring to the opportunity cost of the 100% hedge strategy. The opportunity cost of the 100% hedge strategy for Portfolio B is the forgone opportunity of benefiting from favorable currency rate movements. Gupta is implying that accepting some currency risk has the potential to enhance portfolio return. A complete hedge eliminates this possibility.

中文解析：

对冲成本包括交易成本和机会成本，本题考察的是机会成本。

对冲成本主要有两种形式:交易成本和机会成本。机会成本指的是100%对冲策略下，也放弃了的汇率朝有利方向变动时，可以获得收益的机会。

Explain Guptas statement in light of the strategic choices in currency management available to the portfolio manager.


老师怎么从这句话，看出来这道题是在问“前面Guptas说的是哪种成本”？

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1 个答案

Hertz_品职助教 · 2022年08月02日

嗨，努力学习的PZer你好：


同学你好~

本题考察的机会成本。

从题干中的“a 100% hedge-ratio strategy”这里需要联想到该成本。

为何呢？

因为机会成本的定义是说在百分百对冲的情况下，不论汇率是变得对我们有利还是不利，都跟我们没有关系了，因此就会发生一个丧失掉汇率有利变动带给我们收益的这个机会，也就是机会成本了。

那怎么在考试和平时做题的时候快速联系到这个知识点呢？

首先对冲成本这一块的内容还是比较重要的，按照咱们的框架图有逻辑的记忆各个成本之间的关系和各自的定义，建立知识点的敏感度。这样在题目说到对冲成本的时候我们可以快速回忆起对冲成本有哪些，然后联系每个成本的含义，再对照题目来检索就可以快速解题了。

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