开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

tzdsgn · 2023年07月19日

mvhr

NO.PZ2022123002000026

问题如下:

In 2015, Testa informed Fournier that he had taken large positions in both a New Zealand firm and an Australian packaging firm. The positions were roughly equal in size in terms of the US dollar. Fournier informed Testa that the correlation between USD/AUD and USD/NZD was approximately 0.85. Given the size of the positions, Testa indicated that he wished to minimize any foreign exchange exposure.

The most appropriate hedging strategy for the 2015 positions, in keeping with Testa’s wishes, is based on a:

选项:

A.

direct hedge on each currency separately

B.

cross-hedge of the two currencies in the portfolio

C.

minimum-variance hedge of the two currencies in the portfolio

解释:

Correct Answer: A

A direct hedge on each currency is the most appropriate strategy for the long positions in the Australian and New Zealand dollar. The high correlation between the currencies does not help here because the investor will be using forward contracts to sell both of these currencies. The high correlation between the currencies could have been exploited with a cross-hedge or a minimum-variance hedge if one of the foreign assets was held long and the other short.

MVHR其实只是计算需要多少份的forward合约的一种方法

这个大概怎么做的啊


3 个答案

pzqa35 · 2024年02月16日

嗨,从没放弃的小努力你好:


同学的理解是对的哈,这里如果是h=5的话,代表的是forward的return上涨1%,RDC上涨5%,因此当我们持有现货资产要进行对冲的话,我们是需要short forward才可以,如果RDC下跌了5%,那么short forward就会产生收益,我们需要short 5份的合约来hedge这个变动,这个老师在Minimum-Variance Hedge Ratio这里有讲到过,同学也可以两倍速到3分钟左右的位置快速回顾一下哈。

----------------------------------------------
努力的时光都是限量版,加油!

pzqa31 · 2023年07月20日

嗨,努力学习的PZer你好:


5份

----------------------------------------------
努力的时光都是限量版,加油!

pzqa31 · 2023年07月20日

嗨,爱思考的PZer你好:


MVHR:Rdc=α+h*Rforward+ε,该公式是通过回归方程得到的,表示Rforward变动1%,Rdc变化( h*1%),比如h=5,说明Rforward变动1%,Rdc变化5%。

放在具体例子中理解一下:MVHR仍然是在考虑管理外汇敞口的问题,担心投资的外币贬值,从而导致的Rdc下降,因此我们需要short forward。现在h=5,说明当一份forward合约上涨1%的时候,对应的Rdc下降5%。我们现在需要作hedge,那么就要反过来即hedge住5%的下降,则需要5份forward合约。

----------------------------------------------
努力的时光都是限量版,加油!

tzdsgn · 2023年07月20日

hedge住5%的下降,需要1份还是5份forward啊

沪上小王子 · 2024年02月05日

老师,有关于h与Rdc的关系,我始终理不清,想请您帮讲一下: 1. 例如,“现在h=5,说明当一份forward合约上涨1%的时候,对应的Rdc下降5%。”,合约上涨,为什么Rdc会下降呢,根据公式来看是正相关关系啊,也应该上涨才对啊? 2. 此时如果要hedge,应该long还是short forward呢?

  • 3

    回答
  • 3

    关注
  • 502

    浏览
相关问题