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Tim谭 · 2021年03月10日

问一道题:NO.PZ2018111501000016 [ CFA III ]

问题如下:

Raymond, a US analyst, is managing a fund with EUR-denominated assets. In order to protect the assets from downside return movement, he decides to use option contracts. However, he also wants to reduce hedging costs. Assume the fund performance is measured in USD, he will most likely choose to:

选项:

A.

buy an USD/EUR ATM put option

B.

write an USD/EUR OTM call option

C.

buy an USD/EUR OTM put option.

解释:

C is correct.

考点:Strategies to Modify Risk and Lower Hedging Costs

解析:为了避免外汇资产下跌,应该买put option(注意是DC/FC的外汇报价方式),所以B选项排除。由于这个分析师需要降低对冲成本,那么选择OTM put option更符合他的要求。

请问题目最后说fund performance 用USD计量有什么意义?因为上文已经说了是EUR denominate 资产了,好像这个USD的条件没有什么用

1 个答案

郭静_品职助教 · 2021年03月10日

嗨,努力学习的PZer你好:


是,可以理解为就是确定本币为USD的一个条件

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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