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ZHANGDAPENG · 2019年08月28日

问一道题:NO.PZ2015121801000133

问题如下图:

    

抓短线机会不就是套利吗,A怎么理解  错在among asset classes了吗

选项:

A.

B.

C.

解释:



1 个答案
已采纳答案

Wendy_品职助教 · 2019年08月28日

选项A是错的,不是因为 among asset classes。

套利是有严格的定义的,我们要知道套利是什么,要想套利我们需要满足2个条件:一是不承担任何风险;二是不花一分钱,也就是空手套白狼。顺着这个思路,构建套利组合肯定是要short一个资产组合然后拿short的钱去long另一个资产组合,这样才是空手套白狼。那风险如何去除呢?就是让这两个组合之间的factor sensitivity大小相等,方向相反,可以互相抵消,这样就实现了零风险。

抓短线机会并不等于套利

ZHANGDAPENG · 2019年08月28日

谢咯

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