这里汇率带来的EUR资产升职，导致EUR资产的比例超过原来的比例，不需要考虑调整吗？

NO.PZ2022123002000036 问题如下 Alex hamel, a CFA LevelIII cante, is investment manager Nashua Investment Associates Lt(Nashua). hamel specializes in portfolio management anis responsible forconcting annureviews with clients.hamel begins toreview the portfolio of Hannffi, a US resint. ffi’s portfolio is investen AmericanEuropesecurities. On January 1, 2019, ffi ha portfolioof US50 million anEUR 50 million allocatebetween stocks anbon asshown in Exhibit 1. The exchange rate on January 1, 2019, w1.1 USEUR.Exhibit 1 Hannffi’s Portfolio on January 1, 2019On January 1,2020, the value of ffi’s Europeportfolio increasefrom EUR 50 million toEUR 54 million, with EUR 20 million in stocks anEUR 34 million in bon. Thecurrent USEUR exchange rate of January 1, 2020, is 1.16. The Euro inxfutures contrais priceEUR 700, ha multiplier of 10 ana beta is1.0. ffi cis to use futures contracts to rebalanthe Europeportfolioto the allocation thexisteon January 1, 2019.Thenumber of stoinx futures contracts ffi shouluse to rebalanffi’sportfolio is closest to: A.Buy 199 Euro inx futures B.Sell 262 Euro inx futures C.Buy 263 Euro inx futures CorreAnswer: CHannffi’s Portfolio on January1, 2019Hannffi’s Portfolio on January1, 2020To synthetically rebalanEUR 1.6 million into the Europeanequity portfolio with a beta of 1.15 using Euro inx futures contracts,hamel will neeto buy: NSf = {(βT – βS)/βf} × {S / (fs × m)}where:NSf = number of Euro inx futures contractsβT = target beta (1.15)βS = beta of synthetic cash (0) from the presumesale of Europeanbonβf = futures beta (1.0)S = market value of equity position ($1,600,000)fs = Euro inx futures contrapri(700)m = multiplier (10)Number of futures to buy = {(1.15 – 0) / 1.0} × {$1,600,000 / (700 × 10)}=262.857hamel shoulbuy 263 Euro inx futures contracts. 老师可以一下 βS = beta of synthetic cash (0) from the presumesale of Europebon讲义原公式是 ( Bt- Bp) * (MV / F) /Bf, 为什么本题的Bp用Bs代替？

NO.PZ2022123002000036 问题如下 Alex hamel, a CFA LevelIII cante, is investment manager Nashua Investment Associates Lt(Nashua). hamel specializes in portfolio management anis responsible forconcting annureviews with clients.hamel begins toreview the portfolio of Hannffi, a US resint. ffi’s portfolio is investen AmericanEuropesecurities. On January 1, 2019, ffi ha portfolioof US50 million anEUR 50 million allocatebetween stocks anbon asshown in Exhibit 1. The exchange rate on January 1, 2019, w1.1 USEUR.Exhibit 1 Hannffi’s Portfolio on January 1, 2019On January 1,2020, the value of ffi’s Europeportfolio increasefrom EUR 50 million toEUR 54 million, with EUR 20 million in stocks anEUR 34 million in bon. Thecurrent USEUR exchange rate of January 1, 2020, is 1.16. The Euro inxfutures contrais priceEUR 700, ha multiplier of 10 ana beta is1.0. ffi cis to use futures contracts to rebalanthe Europeportfolioto the allocation thexisteon January 1, 2019.Thenumber of stoinx futures contracts ffi shouluse to rebalanffi’sportfolio is closest to: A.Buy 199 Euro inx futures B.Sell 262 Euro inx futures C.Buy 263 Euro inx futures CorreAnswer: CHannffi’s Portfolio on January1, 2019Hannffi’s Portfolio on January1, 2020To synthetically rebalanEUR 1.6 million into the Europeanequity portfolio with a beta of 1.15 using Euro inx futures contracts,hamel will neeto buy: NSf = {(βT – βS)/βf} × {S / (fs × m)}where:NSf = number of Euro inx futures contractsβT = target beta (1.15)βS = beta of synthetic cash (0) from the presumesale of Europeanbonβf = futures beta (1.0)S = market value of equity position ($1,600,000)fs = Euro inx futures contrapri(700)m = multiplier (10)Number of futures to buy = {(1.15 – 0) / 1.0} × {$1,600,000 / (700 × 10)}=262.857hamel shoulbuy 263 Euro inx futures contracts. On January 1, 2020, the value of ffi’s Europeportfolio increasefrom EUR 50 million to EUR 54 million, with EUR 20 million in stocks anEUR 34 million in bon. 这里不是说2020年的时候， ffi’s Europeportfolio的stocks 还是EUR 20 million吗？，为什么54*40%？

NO.PZ2022123002000036 问题如下 Alex hamel, a CFA LevelIII cante, is investment manager Nashua Investment Associates Lt(Nashua). hamel specializes in portfolio management anis responsible forconcting annureviews with clients.hamel begins toreview the portfolio of Hannffi, a US resint. ffi’s portfolio is investen AmericanEuropesecurities. On January 1, 2019, ffi ha portfolioof US50 million anEUR 50 million allocatebetween stocks anbon asshown in Exhibit 1. The exchange rate on January 1, 2019, w1.1 USEUR.Exhibit 1 Hannffi’s Portfolio on January 1, 2019On January 1,2020, the value of ffi’s Europeportfolio increasefrom EUR 50 million toEUR 54 million, with EUR 20 million in stocks anEUR 34 million in bon. Thecurrent USEUR exchange rate of January 1, 2020, is 1.16. The Euro inxfutures contrais priceEUR 700, ha multiplier of 10 ana beta is1.0. ffi cis to use futures contracts to rebalanthe Europeportfolioto the allocation thexisteon January 1, 2019.Thenumber of stoinx futures contracts ffi shouluse to rebalanffi’sportfolio is closest to: A.Buy 199 Euro inx futures B.Sell 262 Euro inx futures C.Buy 263 Euro inx futures CorreAnswer: CHannffi’s Portfolio on January1, 2019Hannffi’s Portfolio on January1, 2020To synthetically rebalanEUR 1.6 million into the Europeanequity portfolio with a beta of 1.15 using Euro inx futures contracts,hamel will neeto buy: NSf = {(βT – βS)/βf} × {S / (fs × m)}where:NSf = number of Euro inx futures contractsβT = target beta (1.15)βS = beta of synthetic cash (0) from the presumesale of Europeanbonβf = futures beta (1.0)S = market value of equity position ($1,600,000)fs = Euro inx futures contrapri(700)m = multiplier (10)Number of futures to buy = {(1.15 – 0) / 1.0} × {$1,600,000 / (700 × 10)}=262.857hamel shoulbuy 263 Euro inx futures contracts. 如题