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二三六七七九九 · 2018年09月24日

问一道题:NO.PZ2016071602000022 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

directly strategy和relative  value在这里里是怎么看出来的?没看到benchmark的东西啊。。

1 个答案

品职答疑小助手雍 · 2018年09月25日

这里的directly strategy指的是单边的long或者short(获得绝对价值),而relative value是指通过long short方式来获得一个相对价值的策略。

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