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hakulove · 2025年07月06日

如果答案里有除以2的选项可以选吗

NO.PZ2022123002000007

问题如下:

Duhamel begins to review the portfolio of Hannah Duffi, a US resident. Duffi’s portfolio is invested in American and European securities. On January 1, 2019, Duffi had a portfolio of USD 50 million and EUR 50 million allocated between stocks and bonds. The exchange rate on January 1, 2019, was 1.1 USD/EUR.

On January 1, 2020, the value of Duffi’s European portfolio increased from EUR 50 million to EUR 54 million, with EUR 20 million in stocks and EUR 34 million in bonds. The current USD/EUR exchange rate as of January 1, 2020, is 1.16.

For Duffi’s portfolio, the domestic currency return on the European portfolio over the previous year is closest to:


选项:

A.

5.45%

B.

8.00%

C.

13.89%

解释:

Correct Answer: C

For a US resident:

Foreign currency return = RFC = {(54 – 50)/50} * 100 = 8%

Percentage change of foreign currency against domestic currency is

RFX = {(1.16 – 1.1)/1.1} * 100 = 5.45%

Domestic currency return = (1+ RFC) (1+ RFX) – 1 = (1.08) (1.0545) – 1 = 13.89%

题目问的For Duffi’s portfolio, the domestic currency return on the European portfolio over the previous year。

感觉问的是整个portfolio里 Eurpoean portfolio 带来的domestic currency return。如果是主观题最后乘以了权重算对吗?或者答案里有考虑0.5权重的选项,可以选吗?

1 个答案

李坏_品职助教 · 2025年07月06日

嗨,努力学习的PZer你好:


这种题,如果你算出来 考虑了0.5权重的结果,发现没有这个选项,那只能是去掉0.5的权重了。


如果是主观题,

最好的解答是,先求出不考虑权重的domestic currency return,就是Rdc = 13.89%.

然后加一句,一开始的权重是50%在equity,所以Due to 50% weight  allocated on stock, the weighted Rdc is 13.89% * 50% = 6.95%



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