开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

徐威廉 · 2022年05月30日

两种dynamic hedge 方法

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000109

问题如下：

Recommend an alternative hedging strategy that will keep the hedge ratio close to the target hedge ratio. Identify the main disadvantage of implementing such a strategy.

选项：

解释：

The fund manager should implement a dynamic hedging approach. Dynamic hedging requires rebalancing the portfolio periodically. The rebalancing would require adjusting some combination of the size, number, and maturities of the foreign-currency contracts.

Although rebalancing a dynamic hedge will keep the actual hedge ratio close to the target hedge ratio, it has the disadvantage of increased transaction costs compared to a static hedge.

中文解析：

基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。

虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率，但与静态套期保值相比，它有增加交易成本的缺点。

两种dynamic hedge 方法 如何用英文简单表示？

添加评论
1 个答案
已采纳答案

Hertz_品职助教 · 2022年05月30日

嗨，爱思考的PZer你好：


同学你好

两种动态调整的方法分别是：1 定期对hedge本金变化部分签新的合约每rebalance一次，多一个合约。2 定期对原合约做反向头寸，并对新本金签订新合约合约始终只有一份。

英文可以简单表述为：

1.     Periodically sign new contracts for the hedged principal changes; Hold multiple contracts.

2.     Periodically take the opposite position on the original contract and enter into a new contract on the new principal, only have one contract

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 2

    关注

  • 510

    浏览
相关问题

NO.PZ201601050100000109 问题如下 Recommenalternative heing strategy thwill keep the hee ratio close to the target hee ratio. Intify the main saantage of implementing sua strategy. The funmanager shoulimplement a namic heing approach. namic heing requires rebalancing the portfolio periocally. The rebalancing woulrequire austing some combination of the size, number, anmaturities of the foreign-currencontracts. Although rebalancing a namic hee will keep the actuhee ratio close to the target hee ratio, it hthe saantage of increasetransaction costs compareto a static hee.中文解析基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率，但与静态套期保值相比，它有增加交易成本的缺点。 老师好， 我在前一题里面就把他们应该做动态hee写进去了，导致我在看这题的时候就想到其他方向，比如多币种的cross hee，请问如何在考试中避免把后一题的答案写在前一题里面，导致前一题写得过多？ 如果真是这样情况，我还会在这题中得分吗？老师可以一下有没有可能往cross currency方向考虑？谢谢

2024-03-31 21:45 2 · 回答

NO.PZ201601050100000109 问题如下 Recommenalternative heing strategy thwill keep the hee ratio close to the target hee ratio. Intify the main saantage of implementing sua strategy. The funmanager shoulimplement a namic heing approach. namic heing requires rebalancing the portfolio periocally. The rebalancing woulrequire austing some combination of the size, number, anmaturities of the foreign-currencontracts. Although rebalancing a namic hee will keep the actuhee ratio close to the target hee ratio, it hthe saantage of increasetransaction costs compareto a static hee.中文解析基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率，但与静态套期保值相比，它有增加交易成本的缺点。 老师请问，这题答案和Passive heing, scretionary heing, Active currenmanagement, Currenoverlay的概念区别在哪里？

2023-08-19 13:20 2 · 回答

NO.PZ201601050100000109 问题如下 Recommenalternative heing strategy thwill keep the hee ratio close to the target hee ratio. Intify the main saantage of implementing sua strategy. The funmanager shoulimplement a namic heing approach. namic heing requires rebalancing the portfolio periocally. The rebalancing woulrequire austing some combination of the size, number, anmaturities of the foreign-currencontracts. Although rebalancing a namic hee will keep the actuhee ratio close to the target hee ratio, it hthe saantage of increasetransaction costs compareto a static hee.中文解析基金经理应采用动态对冲方法。动态对冲需要周期性地重新平衡投资组合。再平衡需要调整外汇合约的规模、数量和期限。虽然重新平衡动态套期保值会使实际套期保值比率接近目标套期保值比率，但与静态套期保值相比，它有增加交易成本的缺点。 Static Heing vs namic Heing 框架图里好像没有？知识图谱里好像也没有这个考点

2022-05-09 19:28 1 · 回答