abc假设又是什么情况下的

问题如下：

Zach is a investment manager in Avacado Bank, he is planning a simple regression hedge for his portfolio. Which of the following is most likely an assumption about hedge coefficient in Zach's strategy ?

选项：

A.

The hedge coefficient follows the movement of real rates.

B.

The hedge coefficient follows the movement of nominal rates.

C.

The hedging coefficient fluctuates with market changes all the time

D.

The hedge coefficient remains unchange.

解释：

D is correct.

考点：regression hedge

解析：简单的线性对冲假设的是一个一直恒定不变的beta，也就是hedging coefficient固定。当然这与现实相违背的，一般对冲操作都是动态进行的。