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倾书 · 2023年07月28日

risk neutral体现在哪？

  1. CFA III
  2. Derivative

NO.PZ2018111501000021

问题如下：

Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.

Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:

选项：

A.

under-hedge AUD and over-hedge CHF.

B.

over-hedge AUD and not hedge CHF.

C.

under-hedge CHF and not hedge AUD.

解释：

B is correct.

考点：Tools of Currency Management: Forward

解析：用forward contracts对冲外汇风险，对冲的是卖AUD和CHF的外汇风险，所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率（即不用合约锁定的汇率），2.1523>2.0355，所以应当hedge AUD，锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF， 2.4641<2.5642, 所以不hedge时，卖CHF的价格更高。

为什么neutral了？

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已采纳答案

pzqa31 · 2023年07月29日

嗨，努力学习的PZer你好：


这道题是问如果是一个风险中性策略应该怎么对冲，题干里并没有提现。因为如果是risk-averse manager，即便有对市场的判断，也会选择hedge，因为市场预判可能是错的。而risk-neutral manager会按照市场判断的方向来指定策略，这道题中，认为CHF会升值，所以就不hedge。

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