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muamadove · 2022年05月12日

favorable currency rate movement为什么不是只回答机会成本

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NO.PZ201601050100000104

问题如下:

4. Gupta tells the fund manager of Portfolio B:

"We need to seriously consider the potential costs associated with favorable currency rate movements, given that a 100% hedge-ratio strategy is being applied to this portfolio."

Explain Guptas statement in light of the strategic choices in currency management available to the portfolio manager.

解释:

Optimal hedging decisions require balancing the benefits of hedging against the costs of hedging. Hedging costs come mainly in two forms: trading costs and opportunity costs. Gupta is referring to the opportunity cost of the 100% hedge strategy. The opportunity cost of the 100% hedge strategy for Portfolio B is the forgone opportunity of benefiting from favorable currency rate movements. Gupta is implying that accepting some currency risk has the potential to enhance portfolio return. A complete hedge eliminates this possibility.

中文解析:

对冲成本包括交易成本和机会成本,本题考察的是机会成本。

对冲成本主要有两种形式:交易成本和机会成本。机会成本指的是100%对冲策略下,也放弃了的汇率朝有利方向变动时,可以获得收益的机会。

汇率往好的方向变动,可以只回答机会成本的存在吗,为什么需要回答trading cost

1 个答案

Lucky_品职助教 · 2022年05月14日

嗨,从没放弃的小努力你好:


当汇率往好的方向变动,市场上交易的人必然变多,那投资经理在100%对冲的过程中,trading cost也会增加,本题在思考时需要考虑显性和隐性成本两方面,即交易成本和机会成本,这样比较全面~

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

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