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toffee · 2023年05月07日

这道题有点疑惑啊

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NO.PZ202110280100000401

问题如下:

Identify the likely appropriate price benchmark for the LIM trade. Justify your response.

选项:

解释:

A pre-trade benchmark is a reference price that is known before the start of the period over which trading will take place. For example, pre-trade benchmarks include decision price, previous close, opening price, and arrival price. A pre-trade benchmark is often specified by portfolio managers who are buying or selling securities on the basis of decision prices. In this case, Bradley’s target price had been set based on his valuation principles before the opening, whereas waiting for the other benchmarks as inputs would result in the perceived opportunity expiring before it could be exploited.

For Bradley and his trader, two of these pre-trade benchmarks are potentially appropriate. Those are either the decision price, which was the price when Bradley made the decision to buy or sell the security, or the arrival price, which is the price of the security at the time the order is entered into the market for execution. Portfolio managers who are buying or selling on the basis of alpha expectations or a current market mispricing will often specify an arrival price benchmark.

price target的 不是用在判断fair value的时候选择的benchmark吗?题目不是已经出现了 高估 fair value的题眼了吗?这个价格就是 target price啊,我们卖订单,肯定要比这个小,但是越接近这个价格不就赚的越多吗?为啥选pre呢? 没看出来为啥要选pre

2 个答案

pzqa015 · 2023年06月04日

嗨,努力学习的PZer你好:


这些价格都可以作为pre trade benchmark。

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pzqa015 · 2023年05月08日

嗨,爱思考的PZer你好:


一方面,price target benchmark适用于seek 短期α的投资者,他们想快速成交获取α,所以以value作为benchmark。而本题并没有表现出想获得短期阿尔法,所以,用price target benchmark不太合适。

另一方面,pre trade benchmark是以提前定好的价格作为benchmark,通常可以用decision price、previous close price、opening price、arrival price作为benchmark


题目里面的fair value是昨天的价格,然后给了昨天的收盘价、今天的开盘价、10点钟LM的成交价,10点05分和10点22分B同学的成交价,然后让找到B同学的benchmark,显然,给了这么多价格信息,都属于pre trade benchmark的范畴,用pre trade benchmark更合适一些。

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加油吧,让我们一起遇见更好的自己!

dauphinois16 · 2023年06月04日

“题目里面的fair value是昨天的价格,然后给了昨天的收盘价、今天的开盘价、10点钟LM的成交价,10点05分和10点22分B同学的成交价,然后让找到B同学的benchmark,显然,给了这么多价格信息,都属于pre trade benchmark的范畴,用pre trade benchmark更合适一些。” 都属于Pre trade benchmark? Benchmark不是应该只有一个吗,这么多价格以哪个作为基准呢? 这里是否能解释清楚为何是pre trade benchmark

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2023-07-01 14:04 1 · 回答

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2023-06-05 21:40 3 · 回答

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2023-05-03 17:10 2 · 回答