NO.PZ201601050100001501
问题如下：
Determine which type of hedge instrument combination is most appropriate
for Rivera’s situation. Justify your selection.
选项：
解释：
The hedge instrument combination most appropriate for Rivera’s portfolio is a
dynamic forward hedge for the reasons noted below.
First, a dynamic hedge is most appropriate here. A static hedge (i.e., unchanging
hedge) will avoid transaction costs but will also tend to accumulate unwanted
currency exposures as the value of the foreign-currency assets change. This
characteristic will cause a mismatch between the market value of the foreigncurrency asset portfolio and the nominal size of the forward contract used for
the currency hedge; this is pure currency risk. Given this potential mismatch
and because both Rivera and Delgado are risk averse, Delgado should implement a dynamic hedge by rebalancing the portfolio at least on a monthly basis.
Delgado must assess the cost–benefit trade-offs of how frequently to dynamically rebalance the hedge. This depends on a variety of factors (manager risk
aversion, market view, IPS guidelines). The higher the degree of risk aversion,
the more frequently the hedge is likely to be rebalanced back to the “neutral”
hedge ratio.
A forward contract is more suitable because in comparison to a futures contract, a forward contract is more flexible in terms of currency pair, settlement
date, and transaction amount. Forward contracts are also simpler than futures
contracts from an administrative standpoint owing to the absence of margin
requirements, reducing portfolio management expense. Finally, forward contracts are more liquid than futures for trading in large sizes because the daily
trade volume for OTC currency forward contracts dwarfs those for exchange-traded futures contracts.
中文解析：
最适合Rivera投资组合的对冲工具组合是动态远期对冲，原因如下：
首先，这里最适合使用动态对冲。静态对冲虽然成本低，也会随着外币资产价值的变化而累积不必要的货币风险。这一特征将导致外国货币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间产生错配，也就是货币风险。因此Delgado应该实施动态对冲，至少每月重新平衡投资组合。
Delgado必须评估如何频繁地动态调整对冲的成本效益。这取决于多种因素(经理人风险厌恶、市场观点、IPS指导方针)。风险厌恶程度越高，对冲就越有可能频繁地重新平衡至“中性”对冲比率。
远期合约更合适，因为与期货合约相比，远期合约在货币组合、结算日期和交易金额方面更灵活。从管理的角度来看，远期合同也比期货合同简单，因为没有保证金要求，减少了投资组合管理费用。最后，在大规模交易中，远期合约的流动性比期货合约更强，因为场外外汇远期合约的日交易量超过了交易所交易的期货合约。
题目里面说了client 是risk averse
处于这个角度，forward因为是otc不是风险更大吗？futures虽然需要保证金，但是每日盯市风险更低嘛。
所以什么时候会选futures 而不选 forward呢？
题目中的risk averse 还不足选择futures 对吗？
