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zhou8888 · 2023年02月07日

W1 W2是怎么算的

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202208100100000501

问题如下：

Based on the information provided in Exhibit 1, the domestic currency value of Dias’s foreign investments most likely:

选项：

A.

decreased because of changes in the domestic currency value of foreign asset holdings.

B.

increased because of changes in the domestic currency value of UK assets but decreased because of changes in the domestic currency value of German assets.

C.

increased because of changes in the domestic currency value of foreign asset holdings.

解释：

Solution

C is correct. The domestic currency value of Dias’s portfolio of foreign assets most likely increased because of changes in the domestic currency value of foreign asset holdings. The domestic currency return of the portfolio of foreign assets is:

RDC = w1(1 + RFC,GBP )(1 + RFX,GBP ）+ w2(1 + RFC,EUR )(1 + RFX,EUR ) – 1

= 0.659(86,000,000/83,400,000)(4.1025/3.8729) + 0.341(51,000,000/55,000,000)(3.5142/3.0359)

= 0.659(1.0312)(1.0592) + 0.341(0.9273)(1.1575)

= 0.659(1.0923) + 0.341(1.0734)

= 0.0858

The calculations show that the domestic currency value of the portfolio of foreign assets increased because of changes (i.e., increases) in the domestic currency value of UK and German equity investments. Note:

w1 = 322,999,860/489,974,360 = 0.659，and

w2 = 166,974,500/489,974,360 = 0.341

A is incorrect. The domestic currency value of the portfolio increased, and the domestic currency value of UK and German investments increased.

B is incorrect. The domestic currency value of the portfolio increased because of increases in the domestic currency value of UK and German investments. It is the foreign currency value of German equity investments that declined.

中文解析：

在本题中本币为BRL，由上面的计算可知本币的收益RDC为0.0858，是大于0的，因此首先判断the domestic currency value是增加了的。然后根据计算过程可知：外币英镑资产和外币欧元资产的收益率都是大于1的（分别是1.0923和1.0734），因此可以知道这两种资产都会使得本币资产增加。

解析里W12的权重怎么算的？

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2 个答案

lynn_品职助教 · 2023年06月18日

嗨，努力学习的PZer你好：


请问W1 W2为什么用期初值计算，不用期末值计算？


是，对于公式Rdc=Rfc+Rfx+Rfc*Rfx，他求的是投资外币资产时，以本币计价的收益。比如美国的客户投资欧元的某种资产，在投资期结束的时候，计算以美元计价的该投资的收益。


对于这道题，我们要将两种资产统一到一个货币上来计算权重， 因为我们求收益肯定是r1-r0/r0，当然是要期初值的，要知道期初，A货币和B货币的权重情况，再计算收益的。

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lynn_品职助教 · 2023年02月08日

嗨，爱思考的PZer你好：


我们要将两种资产统一到一个货币上来计算权重，


那么a1 = 834,000,000 * 3.8729, a2 = 55,000,000 *3.0359


这样就都统一到BRL上，w1=a1/(a1+a2), w2=a2/(a1+a2)


w1 = 322,999,860/489,974,360 = 0.659，


w2 = 166,974,500/489,974,360 = 0.341

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努力的时光都是限量版，加油！

005 · 2023年06月17日

请问W1 W2为什么用期初值计算，不用期末值计算？

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