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Ciser · 2021年04月02日

请问老师如果是risk-averse investor

  1. CFA III
  2. Asset Allocation

NO.PZ2018111501000021

问题如下：

Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.

Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:

选项：

A.

under-hedge AUD and over-hedge CHF.

B.

over-hedge AUD and not hedge CHF.

C.

under-hedge CHF and not hedge AUD.

解释：

B is correct.

考点：Tools of Currency Management: Forward

解析：用forward contracts对冲外汇风险，对冲的是卖AUD和CHF的外汇风险，所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率（即不用合约锁定的汇率），2.1523>2.0355，所以应当hedge AUD，锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF， 2.4641<2.5642, 所以不hedge时，卖CHF的价格更高。

CHF是hedge还是不hedge
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1 个答案

Hertz_品职助教 · 2021年04月02日

嗨，爱思考的PZer你好：


同学你好~

如果是风险厌恶的投资者，对于CHF头寸，会进行hedge。因为对于风险厌恶的投资者，最担心风险即不确定性，虽然对于CHF预期会升值，但他也会担心市场如果不按照预期发展的情况。因此为了消除不确定性他会选择进行hedge。

本题中其实risk neutral 并不是答题的关键，更不是本题的考点。同学不必纠结于如果是风险厌恶或者风险喜好的投资者会做出怎样的选择。那为什么此题要说是risk neutral呢？首先risk neutral的人，是不care风险的。比方说给定两个方案A.B，A的方案风险明显高于B，但是A.B方案的预期回报一样，则对于risk neutral的人来讲，选哪一个都一样。Risk neutral常用于衍生品的定价等。本题只是告诉我们不必考虑不确定性或者风险，正常思考做题即可。（如有疑问，欢迎追问）

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