NO.PZ2024061801000012
问题如下:
What is the expected payoff for fees if a hedge fund uses a standard 2 plus 20% incentive fee structure with an investment that has a 35% probability of making 55% and a 65% probability of losing 45%?
选项:
A.3.78%.
B.5.28%.
C.5.71%.
D.6.12%.
解释:
C 对冲基金可能赚取12.6%的费用 [2%(固定费用) + 0.20 × 53%(超出2%固定费用的部分的激励费用)]。费用的预期收益率计算如下:
(0.35 × 12.6%) + (0.65 × 2%) = 5.71%
请问如何计算