NO.PZ2023041003000005
问题如下：
Jacob wants to
understand more about the carry arbitrage approach to valuation and, as part of
the discussion, Fourie describes the two fundamental rules for the arbitrageur:
Rule 1 The
arbitrageur never uses her own money to purchase the underlying security and
always invests any proceeds from short selling transactions at the risk-free
rate.
Rule 2 The
arbitrageur does not take any market price risk on the total trade, but individual
components of the trade may involve price risk.
Are Fourie’s
comments regarding fundamental rules for arbitrageurs most likely correct?
选项：
A.
No, Rule 1 is incorrect
B.
Yes
C.
No, Rule 2 is incorrect
解释：
Fourie’s
fundamental rules for arbitrageurs are correct. The two fundamental rules of
the arbitrageur are (a) do not use your own money and (b) do not take any price
risk. The arbitrageur does not spend proceeds from short selling transactions
but invests them at the risk-free rate. The arbitrageur does not take market
price risk, even though each step of the transaction may individually involve
price risk. Because the steps are undertaken simultaneously, however, the price
risk is offset.
A is incorrect.
The arbitrageur does not use their own money. Also, they do not spend proceeds
from short selling transactions but invests them at the risk-rate.
C is incorrect.
The arbitrageur does not take market price risk but component transactions may
individually involve price risk.
陈述1里面always proceed from short selling transactions 这里对吗 套利可以作long方也可以作short方吧 此处写的总是在卖空 这个点没有错吗？感谢老师～
