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Lich · 2024年10月11日

如题

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012005000044

问题如下：

Which of the following statements regarding index arbitrage is correct?

I.If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

II.If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

III.If an index futures price is less than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

IV.If an index futures price is greater than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

选项：

A.

I, II

B.

III，IV

C.

II，IV

D.

None of these statements is correct.

解释：

If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

Only statements I and II are correct.

一和二这个说法是不是应该加上买入（or卖出）并持有现货，让他们时间上一致呢，老师？

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pzqa39 · 2024年10月12日

嗨，从没放弃的小努力你好：


是的，严谨一点的话应该加上，这道题默认时间上是一致的。

----------------------------------------------
努力的时光都是限量版，加油！

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