问题如下:
The return on an optimally hedged portfolio is independent of the return of the hedging instrument. True or false?
选项:
解释:
False. The optimally hedged portfolio is uncorrelated with the return on the hedge. It is not necessarily independent. It would be independent if the returns were jointly normally distributed.
什么是optimally hedged portfolio呢,为什么beta是0呢?beta不是optimal hedge ratio吗?