NO.PZ2022123002000003 问题如下 Pete Aron, portfoliomanager for Gulf Co.’s Europetechnology fun is concerneaboutcurrenfluctuations relateto the equity portfolio (the Portfolio). ThePortfolio is valuein US but hexposure to multiple Europecurrencies,primarily the EUR.Aron formulatesthe following market expectations for the coming year:Expectereturn (in EUR) of the Portfolio: +13.2%Stanrviation (in EUR) of the Portfolio: 15%ExpecteUSEUR spot rate in one year: 1.2045 (1 EUR = 1.2045 USStanrviation of the USEUR exchange rate: 5%Correlation between the USEUR exchange rate anthe Portfolio (in EUR): –0.07The market quotespresentein Exhibit 1 are available from a currenaler:Aron consirsselling EUR anbuying USusing a one-yeforwarcontrato fully hee theEUR currenrisk. He will execute the tra if he cachieve the followingrisk/return objectives:Objective 1: Increase the Portfolio’s expectereturn(in US least 25 basis points.Objective 2: Rethe Portfolio’s expectestanreviation (in US least 30 basis points.termine, basen Aron’s market expectations, whether he shoulexecute the forwartra withrespeto eaof the following: i. Objective 1ii. Objective 2Justify yourresponse. Show your calculations. (2015 Q9)Note: Assume aone-yetime horizon. Consir eaobjective inpenntly. CorreAnswer: Objective 1:Aron shoulnotexecute the forwartra because the return objective is not met.For the USbasenvestor, the expecteUSreturn on the USEUR is 1.2045/1.1930 – 1 = 0.96%.Sinthe EUR return on the portfolio is given 13.2%, the unheeUSeturn on the portfolio is calculate(1 + 0.96%)(1 + 13.2%) – 1 = 14.29%.If Aron cis tohee selling EUR forwar the return on the USEUR will 1.2065/1.1930 –1 = 1.13% anthe return on the heeportfolio woul(1 + 1.13%)(1 +13.2%) – 1 = 14.48%.The fferencebetween the heereturn anthe unheereturn is 14.48% – 14.29% = 19 bps,whiis less thAron’s requireaitionreturn of 25 bps.Alternatively, onecoulcalculate the fferenbetween the heeanunheereturn anget(1 + 14.48%)/(1 + 14.29%) – 1 = 17 bps, whiis also less thAron’s requireeturn.Objective 2:Aron shoulxecute the forwartra because the risk objective is met.If Aron es notexecute the tra, the expecteunheemestic-currenstanrviationis calculatefollows; note ththe USis the mestic currenantheEUR is the foreign currency: σ(R) is the stanrviation of the portfolio return in US σ(RFX) is the stanrviation of the return of the USEUR exchange rate. σ(RFis the stanrviation of the equity portfolio return in EUR. ρ(RFC,RFX) is the correlation between the USEUR exchange rate returns (changes) anthe EUR-nominateequity portfolio returns. Taking the squareroot of 0.02395 gives σ(R) = 15.48%. If Aron executes the tra,the expecteUSportfolio stanrviation equals the stanrviation ofthe EUR equity position, 15.00%. Therefore, the stanrviation of theportfolio creases 15.48% – 15.00% = 48 bps, whiis more thAron’srequirecrease of 30 bps. 根据objective1里面的描述，意思是由于结算货币是US所以比较基准是到期之后不hee换回到US后的return，那为什么objective2里面的基准是【Stanrviation (in EUR) of the Portfolio: 15%】这个呢？
NO.PZ2022123002000003 问题如下 Pete Aron, portfoliomanager for Gulf Co.’s Europetechnology fun is concerneaboutcurrenfluctuations relateto the equity portfolio (the Portfolio). ThePortfolio is valuein US but hexposure to multiple Europecurrencies,primarily the EUR.Aron formulatesthe following market expectations for the coming year:Expectereturn (in EUR) of the Portfolio: +13.2%Stanrviation (in EUR) of the Portfolio: 15%ExpecteUSEUR spot rate in one year: 1.2045 (1 EUR = 1.2045 USStanrviation of the USEUR exchange rate: 5%Correlation between the USEUR exchange rate anthe Portfolio (in EUR): –0.07The market quotespresentein Exhibit 1 are available from a currenaler:Aron consirsselling EUR anbuying USusing a one-yeforwarcontrato fully hee theEUR currenrisk. He will execute the tra if he cachieve the followingrisk/return objectives:Objective 1: Increase the Portfolio’s expectereturn(in US least 25 basis points.Objective 2: Rethe Portfolio’s expectestanreviation (in US least 30 basis points.termine, basen Aron’s market expectations, whether he shoulexecute the forwartra withrespeto eaof the following: i. Objective 1ii. Objective 2Justify yourresponse. Show your calculations. (2015 Q9)Note: Assume aone-yetime horizon. Consir eaobjective inpenntly. CorreAnswer: Objective 1:Aron shoulnotexecute the forwartra because the return objective is not met.For the USbasenvestor, the expecteUSreturn on the USEUR is 1.2045/1.1930 – 1 = 0.96%.Sinthe EUR return on the portfolio is given 13.2%, the unheeUSeturn on the portfolio is calculate(1 + 0.96%)(1 + 13.2%) – 1 = 14.29%.If Aron cis tohee selling EUR forwar the return on the USEUR will 1.2065/1.1930 –1 = 1.13% anthe return on the heeportfolio woul(1 + 1.13%)(1 +13.2%) – 1 = 14.48%.The fferencebetween the heereturn anthe unheereturn is 14.48% – 14.29% = 19 bps,whiis less thAron’s requireaitionreturn of 25 bps.Alternatively, onecoulcalculate the fferenbetween the heeanunheereturn anget(1 + 14.48%)/(1 + 14.29%) – 1 = 17 bps, whiis also less thAron’s requireeturn.Objective 2:Aron shoulxecute the forwartra because the risk objective is met.If Aron es notexecute the tra, the expecteunheemestic-currenstanrviationis calculatefollows; note ththe USis the mestic currenantheEUR is the foreign currency: σ(R) is the stanrviation of the portfolio return in US σ(RFX) is the stanrviation of the return of the USEUR exchange rate. σ(RFis the stanrviation of the equity portfolio return in EUR. ρ(RFC,RFX) is the correlation between the USEUR exchange rate returns (changes) anthe EUR-nominateequity portfolio returns. Taking the squareroot of 0.02395 gives σ(R) = 15.48%. If Aron executes the tra,the expecteUSportfolio stanrviation equals the stanrviation ofthe EUR equity position, 15.00%. Therefore, the stanrviation of theportfolio creases 15.48% – 15.00% = 48 bps, whiis more thAron’srequirecrease of 30 bps. 第二问为什么不是σ（R）=(RFX+1)*σ（RFC)？记得上课中提到hee情况下要这么算，跟答案直接σ（R）=σ（RFC)不一样
NO.PZ2022123002000003 问题如下 Pete Aron, portfoliomanager for Gulf Co.’s Europetechnology fun is concerneaboutcurrenfluctuations relateto the equity portfolio (the Portfolio). ThePortfolio is valuein US but hexposure to multiple Europecurrencies,primarily the EUR.Aron formulatesthe following market expectations for the coming year:Expectereturn (in EUR) of the Portfolio: +13.2%Stanrviation (in EUR) of the Portfolio: 15%ExpecteUSEUR spot rate in one year: 1.2045 (1 EUR = 1.2045 USStanrviation of the USEUR exchange rate: 5%Correlation between the USEUR exchange rate anthe Portfolio (in EUR): –0.07The market quotespresentein Exhibit 1 are available from a currenaler:Aron consirsselling EUR anbuying USusing a one-yeforwarcontrato fully hee theEUR currenrisk. He will execute the tra if he cachieve the followingrisk/return objectives:Objective 1: Increase the Portfolio’s expectereturn(in US least 25 basis points.Objective 2: Rethe Portfolio’s expectestanreviation (in US least 30 basis points.termine, basen Aron’s market expectations, whether he shoulexecute the forwartra withrespeto eaof the following: i. Objective 1ii. Objective 2Justify yourresponse. Show your calculations. (2015 Q9)Note: Assume aone-yetime horizon. Consir eaobjective inpenntly. CorreAnswer: Objective 1:Aron shoulnotexecute the forwartra because the return objective is not met.For the USbasenvestor, the expecteUSreturn on the USEUR is 1.2045/1.1930 – 1 = 0.96%.Sinthe EUR return on the portfolio is given 13.2%, the unheeUSeturn on the portfolio is calculate(1 + 0.96%)(1 + 13.2%) – 1 = 14.29%.If Aron cis tohee selling EUR forwar the return on the USEUR will 1.2065/1.1930 –1 = 1.13% anthe return on the heeportfolio woul(1 + 1.13%)(1 +13.2%) – 1 = 14.48%.The fferencebetween the heereturn anthe unheereturn is 14.48% – 14.29% = 19 bps,whiis less thAron’s requireaitionreturn of 25 bps.Alternatively, onecoulcalculate the fferenbetween the heeanunheereturn anget(1 + 14.48%)/(1 + 14.29%) – 1 = 17 bps, whiis also less thAron’s requireeturn.Objective 2:Aron shoulxecute the forwartra because the risk objective is met.If Aron es notexecute the tra, the expecteunheemestic-currenstanrviationis calculatefollows; note ththe USis the mestic currenantheEUR is the foreign currency: σ(R) is the stanrviation of the portfolio return in US σ(RFX) is the stanrviation of the return of the USEUR exchange rate. σ(RFis the stanrviation of the equity portfolio return in EUR. ρ(RFC,RFX) is the correlation between the USEUR exchange rate returns (changes) anthe EUR-nominateequity portfolio returns. Taking the squareroot of 0.02395 gives σ(R) = 15.48%. If Aron executes the tra,the expecteUSportfolio stanrviation equals the stanrviation ofthe EUR equity position, 15.00%. Therefore, the stanrviation of theportfolio creases 15.48% – 15.00% = 48 bps, whiis more thAron’srequirecrease of 30 bps. 请问这个在题目中是怎么计算出来的？
NO.PZ2022123002000003 问题如下 Pete Aron, portfoliomanager for Gulf Co.’s Europetechnology fun is concerneaboutcurrenfluctuations relateto the equity portfolio (the Portfolio). ThePortfolio is valuein US but hexposure to multiple Europecurrencies,primarily the EUR.Aron formulatesthe following market expectations for the coming year:Expectereturn (in EUR) of the Portfolio: +13.2%Stanrviation (in EUR) of the Portfolio: 15%ExpecteUSEUR spot rate in one year: 1.2045 (1 EUR = 1.2045 USStanrviation of the USEUR exchange rate: 5%Correlation between the USEUR exchange rate anthe Portfolio (in EUR): –0.07The market quotespresentein Exhibit 1 are available from a currenaler:Aron consirsselling EUR anbuying USusing a one-yeforwarcontrato fully hee theEUR currenrisk. He will execute the tra if he cachieve the followingrisk/return objectives:Objective 1: Increase the Portfolio’s expectereturn(in US least 25 basis points.Objective 2: Rethe Portfolio’s expectestanreviation (in US least 30 basis points.termine, basen Aron’s market expectations, whether he shoulexecute the forwartra withrespeto eaof the following: i. Objective 1ii. Objective 2Justify yourresponse. Show your calculations. (2015 Q9)Note: Assume aone-yetime horizon. Consir eaobjective inpenntly. CorreAnswer: Objective 1:Aron shoulnotexecute the forwartra because the return objective is not met.For the USbasenvestor, the expecteUSreturn on the USEUR is 1.2045/1.1930 – 1 = 0.96%.Sinthe EUR return on the portfolio is given 13.2%, the unheeUSeturn on the portfolio is calculate(1 + 0.96%)(1 + 13.2%) – 1 = 14.29%.If Aron cis tohee selling EUR forwar the return on the USEUR will 1.2065/1.1930 –1 = 1.13% anthe return on the heeportfolio woul(1 + 1.13%)(1 +13.2%) – 1 = 14.48%.The fferencebetween the heereturn anthe unheereturn is 14.48% – 14.29% = 19 bps,whiis less thAron’s requireaitionreturn of 25 bps.Alternatively, onecoulcalculate the fferenbetween the heeanunheereturn anget(1 + 14.48%)/(1 + 14.29%) – 1 = 17 bps, whiis also less thAron’s requireeturn.Objective 2:Aron shoulxecute the forwartra because the risk objective is met.If Aron es notexecute the tra, the expecteunheemestic-currenstanrviationis calculatefollows; note ththe USis the mestic currenantheEUR is the foreign currency: σ(R) is the stanrviation of the portfolio return in US σ(RFX) is the stanrviation of the return of the USEUR exchange rate. σ(RFis the stanrviation of the equity portfolio return in EUR. ρ(RFC,RFX) is the correlation between the USEUR exchange rate returns (changes) anthe EUR-nominateequity portfolio returns. Taking the squareroot of 0.02395 gives σ(R) = 15.48%. If Aron executes the tra,the expecteUSportfolio stanrviation equals the stanrviation ofthe EUR equity position, 15.00%. Therefore, the stanrviation of theportfolio creases 15.48% – 15.00% = 48 bps, whiis more thAron’srequirecrease of 30 bps. 计算δR的时候不是也需要去分hee和unhee的情形吗？答案里面计算的是unhee 情形下的δR如果hee，应该δR=（1+RFX）*δRFC=1.01316*15%=15.1974%然后unhee和hee的两个情形的δR之间作差，计算是不是要执行？我的思路是有什么问题吗？
