开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

西红柿面 · 2025年06月17日

请问这题我提到Rolling cost而不是transaction Cost可以吗?

* 问题详情,请 查看题干

NO.PZ201601050100000109

问题如下:

Recommend an alternative hedging strategy that will keep the hedge ratio close to the target hedge ratio. Identify the main disadvantage of implementing such a strategy.

选项:

解释:

The fund manager should implement a dynamic hedging approach. Dynamic hedging requires rebalancing the portfolio periodically. The rebalancing would require adjusting some combination of the size, number, and maturities of the foreign-currency contracts.

Although rebalancing a dynamic hedge will keep the actual hedge ratio close to the target hedge ratio, it has the disadvantage of increased transaction costs compared to a static hedge.

中文解析:

基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。

虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率,但与静态套期保值相比,它有增加交易成本的缺点。

请问这题我提到Rolling cost而不是transaction Cost可以吗?

1 个答案

李坏_品职助教 · 2025年06月17日

嗨,努力学习的PZer你好:


我建议还是写transaction costs .


rolling cost指的是衍生品展期过程中产生的成本,但是dynamic hedge除了展期成本之外,还有其他成本,比如我的投资组合价值本来是100万,现在变成了120万,因为增值了,所以我要多去hedge,这就带了新的transaction cost。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 1

    关注
  • 6

    浏览
相关问题

NO.PZ201601050100000109 问题如下 Recommenalternative heing strategy thwill keep the hee ratio close to the target hee ratio. Intify the main saantage of implementing sua strategy. The funmanager shoulimplement a namic heing approach. namic heing requires rebalancing the portfolio periocally. The rebalancing woulrequire austing some combination of the size, number, anmaturities of the foreign-currencontracts. Although rebalancing a namic hee will keep the actuhee ratio close to the target hee ratio, it hthe saantage of increasetransaction costs compareto a static hee.中文解析基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率,但与静态套期保值相比,它有增加交易成本的缺点。 老师好, 我在前一题里面就把他们应该做动态hee写进去了,导致我在看这题的时候就想到其他方向,比如多币种的cross hee,请问如何在考试中避免把后一题的答案写在前一题里面,导致前一题写得过多? 如果真是这样情况,我还会在这题中得分吗?老师可以一下有没有可能往cross currency方向考虑?谢谢

2024-03-31 21:45 2 · 回答

NO.PZ201601050100000109 问题如下 Recommenalternative heing strategy thwill keep the hee ratio close to the target hee ratio. Intify the main saantage of implementing sua strategy. The funmanager shoulimplement a namic heing approach. namic heing requires rebalancing the portfolio periocally. The rebalancing woulrequire austing some combination of the size, number, anmaturities of the foreign-currencontracts. Although rebalancing a namic hee will keep the actuhee ratio close to the target hee ratio, it hthe saantage of increasetransaction costs compareto a static hee.中文解析基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率,但与静态套期保值相比,它有增加交易成本的缺点。 老师请问,这题答案和Passive heing, scretionary heing, Active currenmanagement, Currenoverlay的概念区别在哪里?

2023-08-19 13:20 2 · 回答

NO.PZ201601050100000109 问题如下 Recommenalternative heing strategy thwill keep the hee ratio close to the target hee ratio. Intify the main saantage of implementing sua strategy. The funmanager shoulimplement a namic heing approach. namic heing requires rebalancing the portfolio periocally. The rebalancing woulrequire austing some combination of the size, number, anmaturities of the foreign-currencontracts. Although rebalancing a namic hee will keep the actuhee ratio close to the target hee ratio, it hthe saantage of increasetransaction costs compareto a static hee.中文解析基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率,但与静态套期保值相比,它有增加交易成本的缺点。 两种namic hee 方法 如何用英文简单表示?

2022-05-30 08:34 1 · 回答

NO.PZ201601050100000109 问题如下 Recommenalternative heing strategy thwill keep the hee ratio close to the target hee ratio. Intify the main saantage of implementing sua strategy. The funmanager shoulimplement a namic heing approach. namic heing requires rebalancing the portfolio periocally. The rebalancing woulrequire austing some combination of the size, number, anmaturities of the foreign-currencontracts. Although rebalancing a namic hee will keep the actuhee ratio close to the target hee ratio, it hthe saantage of increasetransaction costs compareto a static hee.中文解析基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率,但与静态套期保值相比,它有增加交易成本的缺点。 Static Heing vs namic Heing 框架图里好像没有?知识图谱里好像也没有这个考点

2022-05-09 19:28 1 · 回答