如果换一下表述

NO.PZ2018111501000002

问题如下：

Aron wants to analyze the foreign-currency return for Portfolio Y. The domestic currency is EUR and the foreign currency is GBP. It is known that the domestic-currency return is 2%, and GBP appreciated 7% against the EUR.

The foreign-currency portfolio return is:

选项：

-4.67%

9.68%

4.90%

解释：

A is correct.

考点：Currency Risk & Portfolio Return and Risk

$R_{DC}=(1+R_{FC})(1+R_{FX})-1$

已知domestic-currency return is 2%, 即 $R_{DC}=2\%$ 。GBP appreciated 7% against the EUR，根据EUR/GBP（DC/FC）的外汇报价方式，GBP升值7%，即 $R_{FX}=7\%$ 。代入公式，可以求出 $R_{FC}=-4.67\%$ 。

如果是eur depreciate 7percentt against gbp 会影响结果吗因为两个的基础货币变了

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1 个答案

Hertz_品职助教 · 2021年11月23日

嗨，爱思考的PZer你好：

同学你好~

“ GBP appreciated 7% against the EUR”，和“EUR depreciate 7% against GBP”不是一回事，所以换了后肯定会影响结果的。

因为A相对于B升值的幅度并不等于B相对于A贬值的幅度。

举例来说，RMB/USD现在是7，一个月以后变成了8.

则：

USD升值了：8-7/7=1/7。

对于RMB来说：是由1/7贬值到了1/8，因此贬值幅度是（1/8-1/7）/ (1/7)=-1/8

可见一个币种升值的幅度不等于另一个币种贬值的幅度。

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如果换一下表述

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