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