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minotaur · 2018年02月15日

问一道题:NO.PZ2016071602000022

问题如下图:

    

选项:

A.

B.

C.

D.

解释:




为什么说它不是一个”DIRECTIONAL“的策略?为什么B=0就可以说是一个相对价值对冲?


1 个答案

orange品职答疑助手 · 2018年02月17日

directional strategy就 Managed futures和 global macro两类,讲义上有。请复习讲义或听课。

依蔓 · 2018年10月24日

但是正如讲义上说的,这明明是Niche Strategy而非Relative Value Strategy,感觉这道题把Long/Short Equity HF和Equity Market Neutral Strategy给嫁接了说的😂

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