NO.PZ2023040601000039
问题如下：
Thompson frequently reviews Applegate’s strategies to identify those with greater- than- expected tail risk. Doing so helps him understand potential capital allocation requirements for meeting tail risk losses. He is asked to review the following three newly proposed fund strategies and to assess potential tail risk and capital requirements:
- Strategy 1: Long–short equity fund targeting an equity market beta of 0.2 based on fundamental long and short equity research
- Strategy 2: Long-only option strategy that uses technical analysis and momentum to trade call and put options on a short-term basis
- Strategy 3: Alternative income strategy focused on long credit positions combined with selling insurance and writing options to generate premium income
选项：
A.
Strategy 1
B.
Strategy 2
C.
Strategy 3
解释：
An alternative income strategy focused on long credit positions combined with selling insurance and writing options to generate premium income would have greater-than-expected tail risk because of the writing of insurance and options. A significant unexpected outcome in these strategies could result in potential capital requirements.
A is incorrect. A long–short equity fund targeting an equity market beta of 0.2 is unlikely to require capital even in a tail risk event.
B is incorrect. A long-only option strategy may experience significant loss of value, but because it involves buying and then selling options, it does not involve the same tail risk as a short option strategy.
Writing option指什么 会不会和selling insurance相抵消了。比如说 我认为未来信用环境变好 我sell insurance. 同时又short call option on 信用环境变好。这不就互相抵消了
