NO.PZ202301280200000602
问题如下：
Which of the following positions would best implement
minimum-variance hedge against CTA exposure?
选项：
A.
Short a USD/CTA forward contract with a notional size
of CTA 42.82 million
B.
Long an CTA/USD forward contract with a notional size
of CTA 27.14 million
C.
Long a USD/CTA forward contract with a notional size
of USD 27.14 million
解释：
Correct
Answer: B
Minimum-Variance Hedge
Ratio.
h = ρ (RUSD;
RUSD/CTA) × {σ(RUSD) / σ(RUSD/CTA)} = 0.53 ×
(2.45%/7.47%) = 0.174
Hedge position =
0.174 × CTA 156 million = CTA 27.14 million
Yang has a holding
of CTA 156 million assets. The standard market quote for this currency pair is
CTA/USD. To protect the position against the risk of exchange rate
fluctuations, hedge using a short position in CTA, and long position in USD in
a forward contract, hence long CTA/USD currency pair.
The minimum
variance hedge is to long an CTA/USD forward contract with a notional size of
CTA 27.14 million.
请问一下这个相关的知识点在哪里可以找到？ 谢谢！
