NO.PZ2023100905000017
问题如下：
Jeremy Park and Brian Larksen are both portfolio managers who hold identical long positions worth GBP 100 million in the FTSE 1000 index. To hedge their respective portfolios, Park shorts TSE 1000 futures contracts while Larksen buys put options on the FTSE 1000. Who has a higher Liquidity-at-Risk (LaR) measure?
选项：
A.Larksen
B.Park
C.Both have the same LaR
D.Insufficient information to determine
解释：
The futures positions
are exposed to margin calls in the event that the FTSE 1000 increases. Park,
with the short futures position, is thus exposed more to liquidity risk (cash
flow risk). The Park portfolio, hedged with the short futures contract, will
thus have the higher LaR.
但是你买 put option也需要交期权费啊，也有现金流出啊，为什么没有LaR？
