这个在哪个课程讲义里面呀？

问题如下：

What would the rationale most likely be for an institutional investor to include the Pegasus Fund in its portfolio?

选项：

A.Uncorrelated source of alpha

B.Capital structure arbitrage of valuation divergence

C.Earn the illiquidity premium associated with the strategy

解释：

A is correct. Merger arbitrage is a good uncorrelated source of alpha. Diversifying across a variety of mergers, deals, and industries can further help hedge the risk of any one deal failing. Merger arbitrage does not exploit capital structure divergence in a single company and is a relatively liquid strategy.

B is incorrect because capital structure arbitrage involves taking long and short positions in the debt and equity of individual companies to extract misvaluations, and it would not be a rationale for inclusion in the portfolio. This generally falls under distressed security strategies.

C is incorrect because merger arbitrage is a liquid strategy.